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THE ECONOMETRIC MODELLING OF FINANCIAL TIME SERIES

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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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Availability

10007511

332.0151 MIL e 2nd

RLC MM (Rak Buku Umum)

Available

Detail Information

Series Title

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Statement of Responsibility

Terence C. Mills

Call Number

332.0151 MIL e 2nd

Publisher

Cambridge : Cambridge University Press., 2003

Collation

viii, 372 p. : ill. ; 23 cm.

Language

English

ISBN/ISSN

0-521-62492-4

Classification

332.0151

Content Type

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Edition

2nd. ed.

Subject(s)

Buku Umum
Finance
Time-Series Analysis
Econometric Model
Stochastic Processes

Specific Detail Info

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