Substantially revised and updated second edition of Terry Mills' best-selling graduate textbook The Econometric Modelling of Financial Time Series. The book provides detailed coverage of the variety of models that are currently being used in the empirical analysis of financial markets. Covering bond, equity and foreign exchange markets, it is aimed at scholars and practitioners wishing to acquire an understanding of the latest research techniques and findings, and also graduate students wishing to research into financial markets. This second edition includes a great deal of new material, and also provides a more in-depth treatment of two crucial, and related, areas: the theory of integrated processes and cointegration. The new material discusses the distributional properties of asset returns and more recent and novel techniques of analysing and interpreting vector autoregressions that contain integrated and possibly cointegrated variables. Data appendix available online at www.lboro.ac.uk/departments/ec/cup.
Preface to second edition; 1. Introduction; 2. Univariate linear stochastic models: basic concepts; 3. Univariate linear stochastic models: further topics; 4. Univariate non-linear stochastic models; 5. Modelling return distributions; 6. Regression techniques for non-integrated financial time series; 7. Regression techniques for integrated financial time series; 8. Further topics in the analysis of integrated financial time series; Data appendix; References.
From the reviews of previous editions: 'A valuable textbook for a graduate course in the econometrics of financial modelling.' Svend Hylleberg, The Economic Journal
'A useful bridge between finance and the latest research in economic time series. It will serve as a reference for both academic researchers and quantitatively orientated financial practitioners … a useful package for someone wanting time series tools along with finance applications.' Blake LeBaron, Journal of Economic Literature
'There has been a great deal of empirical work on financial time series in recent years, which has utilized an enormous variety of statistical models. This book provides a coherent introduction to many of these models, some of which are of quite recent origin. The book will certainly be of value to practitioners as well as to students.' Short Book Reviews