The Econometric Modelling of Financial Time Series - Image 1

£42.00

Cambridge University Press The Econometric Modelling of Financial Time Series

Name: The Econometric Modelling of Financial Time Series
Brand: Cambridge University Press
Price: 42.0 GBP
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Econometrics

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Description

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.

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Product Specifications

Brand: Cambridge University Press
Model: Illustrated
Format: paperback
ASIN: 052171009X
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 20 March 2008
Listed Since: 28 September 2007

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Cambridge University Press The Econometric Modelling of Financial Time Series

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