This best-selling graduate textbook provides detailed coverage of the latest research techniques and findings relating to the empirical analysis of financial markets. The third edition contains a wealth of new material reflecting the developments of the last decade, including 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. The third edition contains a wealth of new material reflecting the developments of the last decade, including a new chapter on nonlinearity and its testing.
Terence C. Mills is Professor of Applied Statistics and Econometrics, Loughborough University. He is the co-editor of the Palgrave Handbook of Econometrics and has over 170 publications.
Inhaltsangabe
List of figures List of tables Preface to the third edition 1. Introduction 2. Univariate linear stochastic models: basic concepts 3. Univariate linear stochastic models: testing for unit roots and alternative trend specifications 4. Univariate linear stochastic models: further topics 5. Univariate non-linear stochastic models: Martingales, random walks and modelling volatility 6. Univariate non-linear stochastic models: Further models and testing procedures 7. Modelling return distributions 8. Regression techniques for non-integrated financial time series 9. Regression techniques for integrated financial time series 10. Further topics in the analysis of integrated financial time series Data appendix References.
List of figures List of tables Preface to the third edition 1. Introduction 2. Univariate linear stochastic models: basic concepts 3. Univariate linear stochastic models: testing for unit roots and alternative trend specifications 4. Univariate linear stochastic models: further topics 5. Univariate non-linear stochastic models: Martingales, random walks and modelling volatility 6. Univariate non-linear stochastic models: Further models and testing procedures 7. Modelling return distributions 8. Regression techniques for non-integrated financial time series 9. Regression techniques for integrated financial time series 10. Further topics in the analysis of integrated financial time series Data appendix References.
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