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.

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1. Ebooks list page : 1933
2. The Econometric Modelling of Financial Time Series
3. Econometric Analysis of Financial and Economic Time Series Part A, Volume 20
4. Econometric Analysis of Financial and Economic Time Series Part A, Volume 20
5. Market Response Models, Econometric and Time Series Analysis, Second Edition (International Series in Quantitative Marketing) b
6. Applied Econometric Time Series
7. Applied Econometric Time Series, 2nd Edition
8. Applied Econometric Time Series, 2nd Edition { Repost }
9. The Structural Econometric Time Series Analysis Approach
10. Market Response Models, Econometric and Time Series Analysis [REPOST]
11. Modelling Financial Times Series
12. Analysis of Financial Time Series, 2nd Edition (Wiley Series in Probability and Statistics)
13. Modelling Non-Stationary Economic Time Series
14. Modelling Non-Stationary Economic Time Series: A Multivariate Approach
15. Time Series Modelling of Water Resources and Environmental Systems
16. Using Cointegration Analysis in Econometric Modelling