[R-SIG-Finance] Financial Econometrics

[Rory.WINSTON at rbs.com]

I concur with Shane, Verbeek is a great book. I picked up the 2nd edition a while ago and it is one of the most lucid econometrics books I have seen so far.

Rory


Rory Winston
RBS Global Banking & Markets
Office: +44 20 7085 4476

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Hannu Kahra
Sent: 16 September 2008 14:52
To: Shane Conway
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Financial Econometrics

In addition to the previously mentioned books, I recommend Verbeek: A Guide to Modern Econometrics http://www.econ.kuleuven.ac.be/gme/

The 3rd edition of the book is now available http://eu.wiley.com/WileyCDA/WileyTitle/productCd-0470517697.html
I used the 2nd edition in my "advanced statistical methods" course and found the book very suitable for the course.

-Hannu

On Tue, Sep 16, 2008 at 4:24 PM, Shane Conway <shane.conway at gmail.com>wrote:

> I recommend:
>
> * Kennedy: "A Guide to Econometrics"
> * Greene: "Econometric Analysis"
>
>
> ------------------------------
>
> Thanks, and are these book about traditional econometrics or time series?
>
> Maybe it's just a illusion to find some econometrics on finance
> without ts...
>
> HC
>
> > -----Original Message-----
> > From: markleeds at verizon.net [mailto:markleeds at verizon.net]
> > Sent: Monday, September 15, 2008 10:57 PM
> > To: Hsiao-nan Cheung
> > Subject: RE: [R-SIG-Finance] Financial Econometrics
> >
> > authors of texts  are below but i don't know the text names off the
> > top of my head.
> >
> > tsay
> > zivot and wang
> > hayashi
> > mckinlay & lo
> > gueriorox and monfort
> > stephen taylor  ( out of print )
> >
> >
> > On Mon, Sep 15, 2008 at 10:03 AM, Hsiao-nan Cheung wrote:
> >
> > > Hi,
> > >
> > >
> > > I  ll be a assistant professor on econometrics in the following term.
> > > Since
> > > the students are mainly of dept. of finance, my professor want the
> > > teaching materials be about finance and not about macroeconomics.
> > > Is there any good books about financial econometrics (not
> > > something about time series analysis)? Something by examples is
> > > the best.
> > >
> > >
> > > Thanks
> > >
> > >
> > > Hsiao-nan Cheung
> > >
> > >
> > >
> > >
> > >     [[alternative HTML version deleted]]
> > >
> > >
> > >
> > >      ------------------------------
> > >
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