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The Econometric Modelling of Financial Time Series by Terence C. Mills - Paperback - from The Saint Bookstore (SKU: B9780521710091)

The Econometric Modelling of Financial Time Series

The Econometric Modelling of Financial Time Series by Terence C. Mills - Paperback - from The Saint Bookstore (SKU: B9780521710091)

The Econometric Modelling of Financial Time Series

by Terence C. Mills

  • New
  • paperback
Condition
New
ISBN 10
052171009X
ISBN 13
9780521710091
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About This Item

Paperback / softback. New. This best-selling graduate textbook provides detailed coverage of the latest research techniques and findings relating to the empirical analysis of financial markets. This third edition contains a wealth of material reflecting the developments of the last decade, including a new chapter on nonlinearity and its testing.

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.

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Details

bookseller
The Saint Bookstore GB (GB)
Bookseller’s Inventory #
B9780521710091
Title
The Econometric Modelling of Financial Time Series
Author
Terence C. Mills
Format/binding
Paperback / softback
Book condition
new New
Quantity available
5
Binding
Paperback
ISBN 10
052171009X
ISBN 13
9780521710091
Publisher
Cambridge University Press
This edition first published
2008-04

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The Saint Bookstore

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Southport, Merseyside
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