The Econometric Modelling of Financial Time Series

Business & Finance, Economics, Econometrics
Cover of the book The Econometric Modelling of Financial Time Series by Terence C. Mills, Raphael N. Markellos, Cambridge University Press
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Author: Terence C. Mills, Raphael N. Markellos ISBN: 9781107714120
Publisher: Cambridge University Press Publication: March 20, 2008
Imprint: Cambridge University Press Language: English
Author: Terence C. Mills, Raphael N. Markellos
ISBN: 9781107714120
Publisher: Cambridge University Press
Publication: March 20, 2008
Imprint: Cambridge University Press
Language: English

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.

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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.

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