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The econometric modelling of financial time series / Terence C. Mills, Raphael N. Markellos.

By: Contributor(s): Material type: TextTextPublication details: Cambridge, UK ; New York : Cambridge University Press, 2008.Edition: 3rd edDescription: 1 online resource (xii, 456 pages) : illustrationsContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9780511381034
  • 0511381034
  • 9780511386824
  • 0511386826
  • 9780511649684
  • 0511649681
  • 9780511817380
  • 051181738X
  • 0511574312
  • 9780511574313
  • 1107714125
  • 9781107714120
  • 0511384998
  • 9780511384998
Subject(s): Genre/Form: Additional physical formats: Print version:: Econometric modelling of financial time series.DDC classification:
  • 332.01/5195 22
LOC classification:
  • HG174 .M55 2008
Other classification:
  • QH 237
Online resources:
Contents:
Univariate linear stochastic models: basic concepts -- Univariate linear stochastic models: testing for unit roots and alternative trend specifications -- Univariate linear stochastic models: further topics -- Univariate non-linear stochastic models: martingales, random walks and modelling volatility -- Univariate non-linear stochastic models: further models and testing procedures -- Modelling return distributions -- Regression techniques for non-integrated financial time series -- Regression techniques for integrated financial time series -- Further topics in the analysis of integrated financial time series.
Review: "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."--Jacket
Holdings
Item type Current library Collection Call number Status Date due Barcode Item holds
eBook eBook e-Library EBSCO Business Available
Total holds: 0

Includes bibliographical references (pages 412-445) and index.

Univariate linear stochastic models: basic concepts -- Univariate linear stochastic models: testing for unit roots and alternative trend specifications -- Univariate linear stochastic models: further topics -- Univariate non-linear stochastic models: martingales, random walks and modelling volatility -- Univariate non-linear stochastic models: further models and testing procedures -- Modelling return distributions -- Regression techniques for non-integrated financial time series -- Regression techniques for integrated financial time series -- Further topics in the analysis of integrated financial time series.

"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."--Jacket

WorldCat record variable field(s) change: 072

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