Skip to main content Accessibility help

We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.

Close cookie message
×
  1. Home
  2. Books
  3. The Econometric Modelling of Financial Time Series
  • Cited by 76
Publisher:
Cambridge University Press
Online publication date:
June 2012
Print publication year:
2008
Online ISBN:
9780511817380
DOI:
https://doi.org/10.1017/CBO9780511817380
Subjects:
Economics, Econometrics and Mathematical Methods, Finance and Accountancy
Information

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

Refine List

Actions for selected content:

Select all | Deselect all
  • View selected items
  • Export citations
  • Download PDF (zip)
  • Save to Kindle
  • Save to Dropbox
  • Save to Google Drive

Save Search

You can save your searches here and later view and run them again in "My saved searches".

Please provide a title, maximum of 40 characters.
Cancel
×

Contents

Contents

Metrics

Full text views

Total number of HTML views: 0
Total number of PDF views: 0 *
Loading metrics...

Book summary page views

Total views: 0 *
Loading metrics...

* Views captured on Cambridge Core between #date#. This data will be updated every 24 hours.

Usage data cannot currently be displayed.

Accessibility standard: Unknown

Accessibility compliance for the PDF of this book is currently unknown and may be updated in the future.