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Introductory Econometrics for Finance

Introductory Econometrics for Finance Chris Brooks The ISMA Centre, University of Reading published by the press syndicate of the university of cambridge The Pitt Building, Trumpington Street, Cambridge, United Kingdom cambridge university press The Edinburgh Building, Cambridge CB2 2RU, UK. 40 West 20th Street, New York, NY 10011-4211, USA. 477 Williamstown Road, Port Melbourne, VIC 3207, Australia Ruiz de Alarco n 13, 28014 Madrid, Spain Dock House, The Waterfront, Cape Town 8001, South Africa . C Chris Brooks 2002. This book is in copyright. Subject to statutory exception and to the provisions of relevant collective licensing agreements, no reproduction of any part may take place without the written permission of Cambridge University Press.

6.8 Estimation procedures for simultaneous equations systems 313 6.9 An application of a simultaneous equations approach in finance: modelling bid--ask spreads and trading activity in the S&P 100 index options market 317 6.10 Simultaneous equations modelling using EViews and RATS 323 6.11 A Hausman test in RATS 328 6.12 Vector autoregressive ...

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