Hidden Bibliographic Details
| Other authors / contributors: | Markellos, Raphael N.
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| ISBN: | 9780511381034
0511381034
9780511386824
0511386826
9780511649684
0511649681
9780511817380
051181738X
0511574312
9780511574313
9780521883818
0521883814
9780521710091
052171009X
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| Notes: | Includes bibliographical references (pages 412-445) and index.
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| Summary: | "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.
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| Other form: | Print version: Mills, Terence C. Econometric modelling of financial time series. 3rd ed. Cambridge, UK ; New York : Cambridge University Press, 2008 9780521883818
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