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Item Details
| Title:
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THE ECONOMETRIC MODELLING OF FINANCIAL TIME SERIES
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| By: |
Terence C. Mills |
| Format: |
Electronic book text |
| List price:
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£360.00 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
0511754124 |
| ISBN 13: |
9780511754128 |
| Publisher: |
CAMBRIDGE UNIVERSITY PRESS |
| Pub. date: |
5 September, 2012 |
| Edition: |
2nd Revised edition |
| Description: |
Fully revised second edition of the best-selling graduate and practitioner text. |
| Synopsis: |
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. |
| Illustrations: |
35 tables |
| Publication: |
UK |
| Imprint: |
Cambridge University Press (Virtual Publishing) |
| Returns: |
Non-returnable |
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