Ecnmtric Mdllg Financl Time Srs
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Book Overview
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.
Format:Paperback
Language:English
ISBN:052171009X
ISBN13:9780521710091
Release Date:April 2008
Publisher:Cambridge University Press
Length:472 Pages
Weight:1.88 lbs.
Dimensions:1.1" x 6.9" x 9.7"
Customer Reviews
1 rating
it's a terrific book for non-linear time series analysis
Published by Thriftbooks.com User , 25 years ago
This is a very compact, practical book. It edits in a very readable way. What I like it most is that it contributes to non-linear time series analysis a lot, whereas not too many other time series related books do. The real data in the appendix can be downloaded and played around by the readers. You will really have a great time to read it.
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