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
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Cambridge University Press

Cover of the book ECMO in the Adult Patient by Terence C. Mills, Raphael N. Markellos
Cover of the book Nonlinear Climate Dynamics by Terence C. Mills, Raphael N. Markellos
Cover of the book Human Beings in International Relations by Terence C. Mills, Raphael N. Markellos
Cover of the book The Law of the Whale Hunt by Terence C. Mills, Raphael N. Markellos
Cover of the book Religious Discrimination and Cultural Context by Terence C. Mills, Raphael N. Markellos
Cover of the book Analysis of Boolean Functions by Terence C. Mills, Raphael N. Markellos
Cover of the book Marketing Intelligent Design by Terence C. Mills, Raphael N. Markellos
Cover of the book Applied Cranial-Cerebral Anatomy by Terence C. Mills, Raphael N. Markellos
Cover of the book Justices on the Ballot by Terence C. Mills, Raphael N. Markellos
Cover of the book Successful Careers beyond the Lab by Terence C. Mills, Raphael N. Markellos
Cover of the book Power and Religion in Merovingian Gaul by Terence C. Mills, Raphael N. Markellos
Cover of the book Strategic Customer Management by Terence C. Mills, Raphael N. Markellos
Cover of the book Essential Epidemiology by Terence C. Mills, Raphael N. Markellos
Cover of the book The Neural Code of Pitch and Harmony by Terence C. Mills, Raphael N. Markellos
Cover of the book Abortion Care by Terence C. Mills, Raphael N. Markellos
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy