Terence C. Mills, Raphael N. Markellos

The Econometric Modelling of Financial Time Series

• Broschiertes Buch

Produktbeschreibung

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.

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Produktdetails

• Verlag: Cambridge University Press
• 3rd edition
• Seitenzahl: 472
• Erscheinungstermin: 18. September 2013
• Englisch
• Abmessung: 244mm x 170mm x 26mm
• Gewicht: 808g
• ISBN-13: 9780521710091
• ISBN-10: 052171009X
• Artikelnr.: 23437007

Autorenporträt

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.