The Econometric Modelling of Financial Time Series

This third edition contains the latest research techniques and findings relating to the empirical analysis of financial markets.

Terence C. Mills (Author), Raphael N. Markellos (Author)

9780521710091, Cambridge University Press

Paperback, published 20 March 2008

472 pages, 85 b/w illus. 34 tables
24.6 x 17.6 x 2.8 cm, 0.75 kg

'Highly recommended …' The Times Higher Education Supplement

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.

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.

Subject Areas: Business mathematics & systems [KJQ], Econometrics [KCH]