The Econometric Modelling of Financial Time Series

The Econometric Modelling of Financial Time Series
Author :
Publisher : Cambridge University Press
Total Pages : 468
Release :
ISBN-10 : 0521883814
ISBN-13 : 9780521883818
Rating : 4/5 (818 Downloads)

Book Synopsis The Econometric Modelling of Financial Time Series by : Terence C. Mills

Download or read book The Econometric Modelling of Financial Time Series written by Terence C. Mills and published by Cambridge University Press. This book was released on 2008-03-20 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.


The Econometric Modelling of Financial Time Series Related Books

The Econometric Modelling of Financial Time Series
Language: en
Pages: 468
Authors: Terence C. Mills
Categories: Business & Economics
Type: BOOK - Published: 2008-03-20 - Publisher: Cambridge University Press

GET EBOOK

Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial mar
Modeling Financial Time Series with S-PLUS
Language: en
Pages: 632
Authors: Eric Zivot
Categories: Business & Economics
Type: BOOK - Published: 2013-11-11 - Publisher: Springer Science & Business Media

GET EBOOK

The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS stat
Econometric Modelling with Time Series
Language: en
Pages: 925
Authors: Vance Martin
Categories: Business & Economics
Type: BOOK - Published: 2013 - Publisher: Cambridge University Press

GET EBOOK

"Maximum likelihood estimation is a general method for estimating the parameters of econometric models from observed data. The principle of maximum likelihood p
Analysis of Financial Time Series
Language: en
Pages: 724
Authors: Ruey S. Tsay
Categories: Mathematics
Type: BOOK - Published: 2010-10-26 - Publisher: John Wiley & Sons

GET EBOOK

This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of fin
Analysis of Financial Time Series
Language: en
Pages: 576
Authors: Ruey S. Tsay
Categories: Business & Economics
Type: BOOK - Published: 2005-09-15 - Publisher: John Wiley & Sons

GET EBOOK

Provides statistical tools and techniques needed to understandtoday's financial markets The Second Edition of this critically acclaimed text provides acomprehen