The econometric modelling of financial time series

Type
Book
Authors
ISBN 10
052171009X 
ISBN 13
9780521710091 
Category
Economics  [ Browse Items ]
Publication Year
2008 
Pages
xii, 456 p. 
Subject
Stochastic processes  
Abstract
Terence Mills' best-selling graduate textbook provides detailed coverage of the latest 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 modeling." "The third edition, co-authored with Raphael Markellos, contains a wealth of new material reflecting the developments of the last decade. Particular attention is paid to the wide range of non-linear models that are used to analyse financial date 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. 
Description
 
Biblio Notes
 
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