The Econometric Modelling of Financial Time Series

Language: English

Published by Cambridge University Press, GB, 2008

052171009X / 9780521710091

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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.

Seller Inventory # LU-9780521710091

Title
The Econometric Modelling of Financial Time Series
Author
Terence C. Mills, Raphael N. Markellos
Publisher
Cambridge University Press, GB
Publication year
2008
Condition
New
Binding
Paperback
Language
English
ISBN 10
052171009X
ISBN 13
9780521710091
Edition
3rd Edition
Item weight
750 grams
Dimensions
16.99 x 2.72 x 24.41 cm

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