The Econometric Modelling of Financial Time Series
3rd Edition
Published on 2. April 2008
978-0-511-38103-4 (ISBN)
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 / Votes
'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 'Highly recommended ...' The Times Higher Education SupplementMore details
Edition
3rd Revised edition
Language
English
Place of publication
Cambridge
United Kingdom
Publishing group
Cambridge University Press
Target group
Professional and scholarly
Edition type
Revised edition
Illustrations
34 Tables, unspecified; 85 Line drawings, unspecified
File size
2,78 MB
ISBN-13
978-0-511-38103-4 (9780511381034)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional 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
Terence C. Mills | Raphael N. Markellos
The Econometric Modelling of Financial Time Series
Book
03/2008
3rd Edition
Cambridge University Press
€82.94
Article exhausted; check for reprint
Persons
Terence C. Mills is Professor of Applied Statistics and Econometrics, Loughborough University. He is the co-editor of the Palgrave Handbook of Econometrics and has over 170 publications. Raphael N. Markellos is Professor of Quantitative Finance at Athens University of Economics and Business, and Visiting Research Fellow at the Centre for International Financial and Economic Research (CIFER), Loughborough University.
Content
List of figures; List of tables; Preface to the third edition; 1. Introduction; 2. Univariate linear stochastic models: basic concepts; 3. Univariate linear stochastic models: testing for unit roots and alternative trend specifications; 4. Univariate linear stochastic models: further topics; 5. Univariate non-linear stochastic models: Martingales, random walks and modelling volatility; 6. Univariate non-linear stochastic models: Further models and testing procedures; 7. Modelling return distributions; 8. Regression techniques for non-integrated financial time series; 9. Regression techniques for integrated financial time series; 10. Further topics in the analysis of integrated financial time series; Data appendix; References.
