The Econometric Modelling of Financial Time Series Tapa dura - 1999 - 2nd Edición

Terence Mills' best-selling graduate textbook provides detailed coverage of the latest 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. The third edition, co-authored with Raphael Markellos, contains a wealth of new 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.

Detalles

• Título The Econometric Modelling of Financial Time Series
• Autor Terence C. Mills
• Encuadernación Tapa dura
• Número de edición 2nd
• Edición 2
• Páginas 384
• Volúmenes 1
• Idioma ENG
• Editorial Cambridge University Press
• Fecha de publicación September 28, 1999
• ISBN 9780521624138 / 0521624134
• Peso 1.61 libras (0.73 kg)
• Dimensiones 9 x 6 x 1 pulgadas (22.86 x 15.24 x 2.54 cm)
• Library of Congress subjects Stochastic processes, Time-series analysis
• Número de catálogo de la Librería del Congreso de EEUU 98-53587
• Dewey Decimal Code 332.015