The Econometric Modelling of Financial Time Series - Hardcover

Mills, Terence C.

Hardcover

ISBN 10: 0521624134 ISBN 13: 9780521624138

Publisher: Cambridge University Press, 1999

Synopsis

Fully revised and updated, the second edition of the best-selling The Econometric Modelling of Financial Time Series provides comprehensive coverage of the variety of models currently used in the empirical analysis of financial markets. Covering bond, equity and financial markets, it is essential for scholars and practitioners wishing to acquire an understanding of the latest research techniques and findings in the field, and also graduate students wishing to research in financial markets. It provides many examples to illustrate techniques that are only just emerging in the technical literature.

About this title

About the Author

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.

Review

"The style is informal and non-rigorous...it can be read from cover to cover with relative ease and enjoyment, or more conventionally used as a reference." International Journal of Forecasting

"Provides the researcher in financial markets with the techniques necessary to undertake the empirical analysis of financial time series by indroducing and developing both univariate modeling techniques and multivariate methods, including those regression techniques for time series that seem to be particularly relevant to the finance area." Journal of Economic Literature

Edition details

• Publisher: Cambridge University Press
• Publication date: 1999
• Language: English
• ISBN 10: 0521624134
• ISBN 13: 9780521624138
• Binding: Hardcover
• Edition number: 2
• Number of pages: 384