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

Format:

Book

Author/Creator:

Mills, Terence C., author.

Markellos, Raphael N., author.

Language:

English

Subjects (All):

Finance--Econometric models.

Finance.

Time-series analysis.

Stochastic processes.

Physical Description:

1 online resource (xii, 456 pages) : digital, PDF file(s).

Edition:

Third edition.

Place of Publication:

Cambridge : Cambridge University Press, 2008.

Summary:

Terence Mills' best-selling graduate textbook provides detailed coverage of 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. This third edition, co-authored with Raphael Markellos, contains a wealth of 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.

Contents:

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.

Notes:

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

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

ISBN:

1-107-71412-5

0-511-57431-2

0-511-64968-1

0-511-38682-6

0-511-81738-X

0-511-38499-8

0-511-38103-4

OCLC:

667026652