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The Econometric Modelling of Financial Time Series
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The Econometric Modelling of Financial Time Series Hardcover - 1999 - 2nd Edition

by Terence C. Mills


Summary

Terence Mills' best-selling graduate textbook provides detailed coverage of the latest 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. The third edition, co-authored with Raphael Markellos, contains a wealth of new 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.

From the publisher

Fully revised and updated, the second edition of the best-selling The Econometric Modelling of Financial Time Series provides comprehensive coverage of the variety of models currently used in the empirical analysis of financial markets. Covering bond, equity and financial markets, it is essential for scholars and practitioners wishing to acquire an understanding of the latest research techniques and findings in the field, and also graduate students wishing to research in financial markets. It provides many examples to illustrate techniques that are only just emerging in the technical literature.

First line

The aim of this book is to provide the researcher in financial markets with the techniques necessary to undertake the empirical analysis of financial time series.

Details

  • Title The Econometric Modelling of Financial Time Series
  • Author Terence C. Mills
  • Binding Hardcover
  • Edition number 2nd
  • Edition 2
  • Pages 384
  • Volumes 1
  • Language ENG
  • Publisher Cambridge University Press
  • Date September 28, 1999
  • ISBN 9780521624138 / 0521624134
  • Weight 1.61 lbs (0.73 kg)
  • Dimensions 9 x 6 x 1 in (22.86 x 15.24 x 2.54 cm)
  • Library of Congress subjects Stochastic processes, Time-series analysis
  • Library of Congress Catalog Number 98-53587
  • 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

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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
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The Econometric Modelling of Financial Time Series

by Terence C. Mills

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