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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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Previews available in: English
Subjects
Business, Econometric models, Finance, Nonfiction, Stochastic processes, Time-series analysis, Stochastische modellen, Serie chronologique, Analise de series temporais, Financien, Finances, Econometria, Processos estocasticos, Series chronologiques, Tijdreeksen, Modeles econometriques, Econometrische modellen, Estatistica aplicada (economia), Processus stochastiques, EconometricsShowing 4 featured editions. View all 4 editions?
Edition | Availability |
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1
The Econometric Modelling of Financial Time Series
2008, Cambridge University Press
E-book
in English
0511381034 9780511381034
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2
The Econometric Modelling of Financial Time Series
September 28, 1999, Cambridge University Press
Paperback
in English
- 2 edition
0521624924 9780521624923
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zzzz
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3
The Econometric Modelling of Financial Time Series
September 28, 1999, Cambridge University Press
Hardcover
in English
- 2 edition
0521624134 9780521624138
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4
The econometric modelling of financial time series
1993, Cambridge University Press
in English
0521410487 9780521410489
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Book Details
Edition Notes
Includes bibliographical references (p. 226-241) and index.
System requirements for computer disk: IBM-compatible PC; DOS; high-density floppy disk.
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- Created April 1, 2008
- 10 revisions
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