THE ECONOMETRIC MODELLING OF FINANCIAL TIME SERIES

The aim of this book is to provide the researcher in financial markets with the techniques necessary to undertake the empirical analysis of financial time series. To accomplish this aim we introduce and develop both univariate modelling techniques and multivariate methods, including those regression techniques for time series that seem to be particularly relevant to the finance area.

CONTENTS

List of figures page
List of tables
Preface to the third edition

Introduction

1. Univariate linear stochastic models: basic concepts
2. Univariate linear stochastic models: testing for unit roots and alternative trend specifications
3. Univariate linear stochastic models: further topics
4. Univariate non-linear stochastic models: martingales, random walks and modelling volatility
5. Univariate non-linear stochastic models: further models and testing procedures
6. Modelling return distributions
7. Regression techniques for non-integrated financial time series
8. Regression techniques for integrated financial time series
9. Further topics in the analysis of integrated financial time series

Data appendix
References
Index

Páginas : 470
Peso : 2mb.
Formato : PDF.
Edición : Tercera
Año de Publicación :2008
ISBN : 978-0521710091
Editorial : Cambridge University Press
Autor: Terence C. Mills, Raphael N. Markellos


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