The econometric modelling of financial time series / Terence C. Mills, Raphael N. Markellos.
2008
HG174 .M55 2008
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Linked e-resources
Details
Title
The econometric modelling of financial time series / Terence C. Mills, Raphael N. Markellos.
Author
Edition
3rd ed.
ISBN
9780511381034 (electronic bk. ; Adobe Reader)
0511381034 (electronic bk. ; Adobe Reader)
9780511386824
0511386826
9780511649684 (electronic bk.)
0511649681 (electronic bk.)
9780511817380
051181738X
0511574312 (e-book)
9780511574313 (e-book)
9780521883818
0521883814
9780521710091
052171009X
1107714125
9781107714120
0511384998
9780511384998
0511381034 (electronic bk. ; Adobe Reader)
9780511386824
0511386826
9780511649684 (electronic bk.)
0511649681 (electronic bk.)
9780511817380
051181738X
0511574312 (e-book)
9780511574313 (e-book)
9780521883818
0521883814
9780521710091
052171009X
1107714125
9781107714120
0511384998
9780511384998
Imprint
Cambridge, UK ; New York : Cambridge University Press, 2008.
Language
English
Description
1 online resource (xii, 456 pages) : illustrations
Call Number
HG174 .M55 2008
System Control No.
(OCoLC)667026652
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 modeling." "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 non-linear models that are used to analyse financial date 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."--Jacket
Bibliography, etc. Note
Includes bibliographical references (pages 412-445) and index.
Formatted Contents Note
Univariate linear stochastic models: basic concepts
Univariate linear stochastic models: testing for unit roots and alternative trend specifications
Univariate linear stochastic models: further topics
Univariate non-linear stochastic models: martingales, random walks and modelling volatility
Univariate non-linear stochastic models: further models and testing procedures
Modelling return distributions
Regression techniques for non-integrated financial time series
Regression techniques for integrated financial time series
Further topics in the analysis of integrated financial time series.
Univariate linear stochastic models: testing for unit roots and alternative trend specifications
Univariate linear stochastic models: further topics
Univariate non-linear stochastic models: martingales, random walks and modelling volatility
Univariate non-linear stochastic models: further models and testing procedures
Modelling return distributions
Regression techniques for non-integrated financial time series
Regression techniques for integrated financial time series
Further topics in the analysis of integrated financial time series.
Added Author
Available in Other Form
Print version: Mills, Terence C. Econometric modelling of financial time series. 3rd ed. Cambridge, UK ; New York : Cambridge University Press, 2008
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