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  3. The Econometric Modelling of Financial Time Series
  • Cited by 76
      • 3rd edition
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    • Publisher:
      Cambridge University Press
      Publication date:
      June 2012
      March 2008
      ISBN:
      9780511817380
      9780521710091
      DOI:
      https://doi.org/10.1017/CBO9780511817380
      Dimensions:
      Weight & Pages:
      Dimensions:
      (247 x 174 mm)
      Weight & Pages:
      0.75kg, 472 Pages
      • Subjects:
      Economics, Econometrics and Mathematical Methods, Finance and Accountancy
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    Subjects:
    Economics, Econometrics and Mathematical Methods, Finance and Accountancy
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    Book 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.

    Reviews

    ‘A valuable textbook for a graduate course in the econometrics of financial modelling.’

    Svend Hylleberg Source: 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 …'

    Source: The Times Higher Education Supplement

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