The Econometric Modelling of Financial Time Series (Paperback)

Raphael N. Markellos

ISBN 10: 052171009X / ISBN 13: 9780521710091

Published by Cambridge University Press, Cambridge, 2008

About this Item

Paperback. 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. This best-selling graduate textbook provides detailed coverage of the latest research techniques and findings relating to the empirical analysis of financial markets. This third edition contains a wealth of material reflecting the developments of the last decade, including a new chapter on nonlinearity and its testing. This item is printed on demand. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.

Seller Inventory # 9780521710091

Bibliographic Details

• Title: The Econometric Modelling of Financial Time Series (Paperback)
• Publisher: Cambridge University Press, Cambridge
• Publication Date: 2008
• Language: English
• ISBN 10: 052171009X
• ISBN 13: 9780521710091
• Binding: Paperback
• Edition: 3rd Edition
• Condition: new

About this title

Synopsis

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.

About the Authors

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.