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The Econometric Modelling of Financial Time Series
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The Econometric Modelling of Financial Time Series Hardcover - 1994

by Terence C. Mills


From the publisher

This book provides detailed coverage of the variety of models that are currently being used in the empirical analysis of financial markets. Covering bond equity and foreign exchange markets, it is aimed at scholars and practitioners wishing to acquire an understanding of the latest research techniques and findings in the field, and also at graduate students wishing to research in financial markets. The book is divided into two main sections, covering univariate models, and econometric and multivariate techniques respectively. In the former, the areas covered include linear and non-linear stochastic models, random walk, unit root tests, GARCH models, deterministic chaos, trend reversion, and bubbles. In the latter, regression models, time varying parameter models, the Kalman filter, vector autoregressions, present value models, and cointegration are discussed.

Details

  • Title The Econometric Modelling of Financial Time Series
  • Author Terence C. Mills
  • Binding Hardcover
  • Edition Har/Dis
  • Pages 255
  • Volumes 1
  • Language ENG
  • Publisher Cambridge University Press
  • Date 1994
  • ISBN 9780521410489 / 0521410487
  • Weight 1.16 lbs (0.53 kg)
  • Dimensions 9.28 x 6.25 x 0.93 in (23.57 x 15.88 x 2.36 cm)
  • Library of Congress subjects Stochastic processes, Time-series analysis
  • Library of Congress Catalog Number 92037624
  • Dewey Decimal Code 332.015
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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

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

by Terence C. Mills

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The Econometric Analysis of Financial Time Series
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The Econometric Analysis of Financial Time Series

by Mills, Terence C

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The Econometric Analysis of Financial Time Series
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The Econometric Analysis 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, T. C.

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ISBN 10 / ISBN 13
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Cambridge University Press, 1994. This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. Clean from markings In good all round condition. No dust jacket. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,550grams, ISBN:0521410487
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The Econometric Modelling of Financial Time Series

The Econometric Modelling of Financial Time Series

by Terence C. Mills

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