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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.
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
by Mills, Terence C
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The Econometric Modelling of Financial Time Series
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Cambridge University Press, 1999. This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. 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,800grams, ISBN:9780521624138
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THE ECONOMETRIC MODELLING OF FINANCIAL TIME SERIES
by MILLS, TERENCE C.,
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Cambridge University, 1999. 2nd. Hardcover. New/New.
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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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