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The Econometric Modelling of Financial Time Series
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The Econometric Modelling of Financial Time Series Paperback - 2008 - 3rd Edition

by Terence C. Mills; Raphael N. Markellos


From the publisher

Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.

Details

  • Title The Econometric Modelling of Financial Time Series
  • Author Terence C. Mills; Raphael N. Markellos
  • Binding Paperback
  • Edition number 3rd
  • Edition 3
  • Pages 472
  • Volumes 1
  • Language ENG
  • Publisher Cambridge University Press
  • Date 2008-03-20
  • Illustrated Yes
  • ISBN 9780521710091 / 052171009X
  • Weight 2.06 lbs (0.93 kg)
  • Dimensions 9.68 x 6.92 x 1.09 in (24.59 x 17.58 x 2.77 cm)
  • Library of Congress subjects Stochastic processes, Time-series analysis
  • Library of Congress Catalog Number 2007048450
  • Dewey Decimal Code 332.015
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The Econometric Modelling of Financial Time Series

The Econometric Modelling of Financial Time Series

by Mills, Terence C.

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The Econometric Modelling of Financial Time Series
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The Econometric Modelling of Financial Time Series

by Mills, Terence C.; Markellos, Raphael N

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