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The Econometric Modelling of Financial Time Series by Mills, Terence C.; Markellos, Raphael N. is a scholarly article available to read on EtoBox.

What is The Econometric Modelling of Financial Time Series about?

"Terence Mills' best-selling graduate textbook provides detailed coverage of the latest 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 modeling." "The third edition, co-authored with Raphael Markellos, contains a wealth of new material reflecting the developments of the last decade. Particular attention is paid to the wide range of non-linear models that are used to analyse financial date 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."--Jacket

Author

Mills, Terence C.; Markellos, Raphael N.

Publisher

Cambridge University Press (Virtual Publishing)

Published

2008

Language

EN

ISBN

9780521710091