The Econometric Modelling of Financial Time Series
2nd Edition
Published on 26. August 1999
Book
Hardback
384 pages
978-0-521-62413-8 (ISBN)
Description
Substantially revised and updated second edition of Terry Mills' best-selling graduate textbook The Econometric Modelling of Financial Time Series. The book provides detailed coverage of the variety of models that are currently being used in the empirical analysis of financial markets. Covering bond, equity and foreign exchange markets, it is aimed at scholars and practitioners wishing to acquire an understanding of the latest research techniques and findings, and also graduate students wishing to research into financial markets. This second edition includes a great deal of new material, and also provides a more in-depth treatment of two crucial, and related, areas: the theory of integrated processes and cointegration. The new material discusses the distributional properties of asset returns and more recent and novel techniques of analysing and interpreting vector autoregressions that contain integrated and possibly cointegrated variables. Data appendix available online at www.lboro.ac.uk/departments/ec/cup.
Reviews / Votes
From the reviews of previous editions: '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 'There has been a great deal of empirical work on financial time series in recent years, which has utilized an enormous variety of statistical models. This book provides a coherent introduction to many of these models, some of which are of quite recent origin. The book will certainly be of value to practitioners as well as to students.' Short Book ReviewsMore details
Edition
2nd Revised edition
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
Edition type
Revised edition
Illustrations
35 Tables, unspecified
Dimensions
Height: 236 mm
Width: 160 mm
Thickness: 33 mm
Weight
740 gr
ISBN-13
978-0-521-62413-8 (9780521624138)
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Schweitzer Classification
Other editions
New editions
Terence C. Mills | Raphael N. Markellos
The Econometric Modelling of Financial Time Series
Book
03/2008
3rd Edition
Cambridge University Press
€73.00
Shipment within 15-20 days
Previous edition
Terence C. Mills
The Econometric Modelling of Financial Time Series
Book
10/1993
Cambridge University Press
€61.90
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Content
Preface to second edition; 1. Introduction; 2. Univariate linear stochastic models: basic concepts; 3. Univariate linear stochastic models: further topics; 4. Univariate non-linear stochastic models; 5. Modelling return distributions; 6. Regression techniques for non-integrated financial time series; 7. Regression techniques for integrated financial time series; 8. Further topics in the analysis of integrated financial time series; Data appendix; References.