The Econometric Modelling of Financial Time Series by Raphael N. Markellos (Engl

Description: The Econometric Modelling of Financial Time Series by Raphael N. Markellos, Terence C. Mills 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. FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description 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. Notes 3rd edition. The latest research techniques and finding relating to the empirical analysis of financial markets. Author Biography 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. Table of Contents List of figures; List of tables; Preface to the third edition; 1. Introduction; 2. Univariate linear stochastic models: basic concepts; 3. Univariate linear stochastic models: testing for unit roots and alternative trend specifications; 4. Univariate linear stochastic models: further topics; 5. Univariate non-linear stochastic models: Martingales, random walks and modelling volatility; 6. Univariate non-linear stochastic models: Further models and testing procedures; 7. Modelling return distributions; 8. Regression techniques for non-integrated financial time series; 9. Regression techniques for integrated financial time series; 10. Further topics in the analysis of integrated financial time series; Data appendix; References. Review A valuable textbook for a graduate course in the econometrics of financial modelling. Svend Hylleberg, The Economic Journal A useful bridge between finance and the latest research in economic time series. It will serve as a reference for both academic researchers and quantitatively orientated financial practitioners ... a useful package for someone wanting time series tools along with finance applications. Blake LeBaron, Journal of Economic Literature Promotional This third edition contains the latest research techniques and findings relating to the empirical analysis of financial markets. Review Quote Highly recommended … Times Higher Education Promotional "Headline" This third edition contains the latest research techniques and findings relating to the empirical analysis of financial markets. Description for Bookstore 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. Description for Library 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. Details ISBN052171009X Author Terence C. Mills Publisher Cambridge University Press Language English Edition 3rd ISBN-10 052171009X ISBN-13 9780521710091 Media Book Format Paperback Year 2008 Imprint Cambridge University Press Place of Publication Cambridge Country of Publication United Kingdom Replaces 9780521624923 Short Title ECONOMETRIC MODELLING OF FINAN DOI 10.1604/9780521710091 UK Release Date 2008-03-20 AU Release Date 2008-03-20 NZ Release Date 2008-03-20 Pages 472 Edition Description 3rd Revised edition Publication Date 2008-03-20 Alternative 9780511817380 DEWEY 332.015195 Illustrations 34 Tables, unspecified; 85 Line drawings, unspecified Audience Professional & Vocational We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:91375290;

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