The Econometric Modelling of Financial Time Series (Paperback)

Language: English

Published by Cambridge University Press, Cambridge, 2008

052171009X / 9780521710091

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Paperback. Terence Mills' best-selling graduate textbook provides detailed coverage of 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. This third edition, co-authored with Raphael Markellos, contains a wealth of 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. 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. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.

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Title
The Econometric Modelling of Financial Time Series (Paperback)
Author
Raphael N. Markellos
Publisher
Cambridge University Press, Cambridge
Publication year
2008
Condition
new
Binding
Paperback
Language
English
ISBN 10
052171009X
ISBN 13
9780521710091
Edition
3rd Edition

CitiRetail

Stevenage, United Kingdom

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AbeBooks seller since June 29, 2022

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