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.
• Covers the latest research techniques and findings used in the empirical analysis of financial markets • Up-to-date examples with data sets enable readers to perform their own analyses • Emphasises understanding of core concepts and promotes the development of applied econometric skills
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.
'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
'Highly recommended …' The Times Higher Education Supplement