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Economics/Finances "The Econometric Modelling of Financial Time Series" by Terence C. Mills, Raphael N. Markellos
Posted on 2010-07-19
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More "The Econometric Modelling of Financial Time Series" by Terence C. Mills, Raphael N. Markellos Third edition This textbook provides detailed coverage of the latest research techniques and findings relating to the empirical analysis of financial markets. The third edition contains a wealth of new material reflecting the developments of the last decade. 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. • | • 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. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing. 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 Index with TOC BookMarkLinks More : You find here
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