The Econometric Modelling of Financial Time Series - Terence C. Mills

The Econometric Modelling of Financial Time Series

Buch | Softcover
384 Seiten
1999 | 2nd Revised edition
Cambridge University Press (Verlag)
978-0-521-62492-3 (ISBN)
33,65 inkl. MwSt
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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 used in the empirical analysis of financial markets. Data appendix available online at www.lboro.ac.uk/departments/ec/cup
Substantially revised and updated second edition of Terry Mills' best-selling graduate textbook The Econometric Modelling of Financial Time Series. The book provides detailed coverage of the variety of models that are currently being used in the empirical analysis of financial markets. Covering bond, equity and foreign exchange markets, it is aimed at scholars and practitioners wishing to acquire an understanding of the latest research techniques and findings, and also graduate students wishing to research into financial markets. This second edition includes a great deal of new material, and also provides a more in-depth treatment of two crucial, and related, areas: the theory of integrated processes and cointegration. The new material discusses the distributional properties of asset returns and more recent and novel techniques of analysing and interpreting vector autoregressions that contain integrated and possibly cointegrated variables. Data appendix available online at www.lboro.ac.uk/departments/ec/cup.

Preface to second edition; 1. Introduction; 2. Univariate linear stochastic models: basic concepts; 3. Univariate linear stochastic models: further topics; 4. Univariate non-linear stochastic models; 5. Modelling return distributions; 6. Regression techniques for non-integrated financial time series; 7. Regression techniques for integrated financial time series; 8. Further topics in the analysis of integrated financial time series; Data appendix; References.

Erscheint lt. Verlag 26.8.1999
Zusatzinfo 35 Tables, unspecified
Verlagsort Cambridge
Sprache englisch
Maße 154 x 229 mm
Gewicht 622 g
Themenwelt Wirtschaft Betriebswirtschaft / Management Finanzierung
Wirtschaft Volkswirtschaftslehre Ökonometrie
ISBN-10 0-521-62492-4 / 0521624924
ISBN-13 978-0-521-62492-3 / 9780521624923
Zustand Neuware
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