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The econometric modelling of financial time series /
"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 financi...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge, UK ; New York :
Cambridge University Press,
2008.
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| Edición: | 3rd ed. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | "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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| Descripción Física: | 1 online resource (xii, 456 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (pages 412-445) and index. |
| ISBN: | 9780511381034 0511381034 9780511386824 0511386826 9780511649684 0511649681 9780511817380 051181738X 0511574312 9780511574313 1107714125 9781107714120 0511384998 9780511384998 |