Providing an understanding and experience of econometrics, this book covers basic econometric methods and addresses the creative process of model building. Using examples and exercises, it focuses on regression and covers choice data and time series data. It is aimed at undergraduate students, new g[...]

Although many of the models commonly used in empirical finance are linear, the nature of financial data suggests that non-linear models are more appropriate for forecasting and accurately describing returns and volatility. The enormous number of non-linear time series models appropriate for modeling[...]