THE ECONOMETRIC MODELLING OF FINANCIAL TIME SERIES
by MILLS, TERENCE C.,
- New
- Hardcover
- Condition
- New/New
- ISBN 10
- 0521624134
- ISBN 13
- 9780521624138
- Seller
-
New Delhi, India
2 Copies Available from This Seller
Payment Methods Accepted
About This Item
Synopsis
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.
Reviews
(Log in or Create an Account first!)
Details
- Bookseller
- DELHI BOOK STORE (IN)
- Bookseller's Inventory #
- AME_9780521624138
- Title
- THE ECONOMETRIC MODELLING OF FINANCIAL TIME SERIES
- Author
- MILLS, TERENCE C.,
- Format/Binding
- Hardcover
- Book Condition
- New New
- Jacket Condition
- New
- Quantity Available
- 2
- Edition
- 2nd
- ISBN 10
- 0521624134
- ISBN 13
- 9780521624138
- Publisher
- Cambridge University
- Date Published
- 1999
- Keywords
- ECONOMETRICS THE ECONOMETRIC MODELLING OF FINANCIAL TIME SERIES