[R-SIG-Finance] Financial Econometrics

[Krishna Kumar]

I like these three books and think they are worth looking at Tsay, Mills 
and Franses in no particular order.
They are quite accessible another book that has a few good chapters is 
Carol Alexander's book.
http://www.amazon.com/exec/obidos/ASIN/0471899755/kriskumar-20

Eric Zivot's book has again excellent treatment and examples and could 
be a good way to do this course.

Cheers
Krishna



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
>
>  
>
>  
>
>
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