Brooks, C. _Introductory Econometrics for Finance

Cambridge University Press, 2nd ed., 2008

Content

  1. Introduction
  2. A brief overfiew of the classical linear regression model
  3. Further development and analysis of the classical linear regression model
  4. Classical linear regression model assumptions and diagnostic tests
  5. Univariate time series modelling and forecasting
  6. Multivariate models
  7. Modelling long-run relationships in finance
  8. Modelling volatility and correlation
  9. Switching models
  10. Panel data
  11. Limited dependent variable models
  12. Simulation methods
  13. Conducting empirical research or doing a project or dissertation in finance
  14. Recent and future developments in the modelling of financial time series