The Econometric Modelling of Financial Time Series

Description

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 modelling. 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 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.

First Sentence

The aim of this book is to provide the researcher in financial markets with the techniques necessary to undertake the empirical analysis of financial time series.

Subjects

Other Editions

• The econometric modelling of financial time seriesCambridge University Press1993-01-01
• The Econometric Modelling of Financial Time SeriesHardcoverCambridge University Press1999-09-28
• The Econometric Modelling of Financial Time SeriesPaperbackCambridge University Press1999-09-28
• The Econometric Modelling of Financial Time SerieseBookCambridge University Press2008-01-01