Econometric Modelling of Financial Time Series by Terence C. Mills
Look inside with Google Book Preview
Econometric Modelling of Financial Time Series
By Terence C. Mills

The Econometric Modelling of Financial Time Series

3rd Revised edition

By (author) See other recent books by Terence C. Mills See other recent books by Raphael N. Markellos
Format: Paperback

Normal Price: $110.00
Your Price: $99.00 AUD, inc. GST
Shipping: $7.95 per order
You Save: $11.00! (10% off normal price)
Plus...earn $4.95 in Boomerang Bucks
Availability: Available Available to Backorder, No Due Date for Supply



Econometric Modelling of Financial Time Series by Terence C. Mills

Book Description

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.

Buy Econometric Modelling of Financial Time Series book by Terence C. Mills from Australia's Online Bookstore, Boomerang Books.


Book Details

ISBN: 9780521710091
ISBN-10: 052171009X
Format: Paperback
(247mm x 174mm x 24mm)
Pages: 472
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 20-Mar-2008
Country of Publication: United Kingdom

Other Editions...


Books By Author Terence C. Mills

Time Series Econometrics by Terence C. Mills Time Series Econometrics, Hardback (August 2015)

This book provides an introductory treatment of time series econometrics, a subject that is of key importance to both students and practitioners of economics. It contains material that any serious student of economics and finance should be acquainted with if they are seeking to gain an understanding of a real functioning economy.

Analysing Economic Data by Terence C. Mills Analysing Economic Data, Hardback (November 2013)

Covers the key issues required for students wishing to understand and analyse the core empirical issues in economics. It focuses on descriptive statistics, probability concepts and basic econometric techniques and has an accompanying website that contains all the data used in the examples and provides exercises for undertaking original research.

Very British Affair by Terence C. Mills Very British Affair, Hardback (November 2012)

This book develops the major themes of time series analysis from its formal beginnings in the early part of the 20th century to the present day through the research of six distinguished British statisticians, all of whose work is characterised by the British traits of pragmatism and the desire to solve practical problems of importance.

Foundations of Modern Time Series Analysis by Terence C. Mills Foundations of Modern Time Series Analysis, Hardback (June 2011)

This book develops the analysis of Time Series from its formal beginnings in the 1890s through to the publication of Box and Jenkins' watershed publication in 1970, showing how these methods laid the foundations for the modern techniques of Time Series analysis that are in use today.

» View all books by Terence C. Mills

Reviews

» Have you read this book? We'd like to know what you think about it - write a review about Econometric Modelling of Financial Time Series book by Terence C. Mills and you'll earn 50c in Boomerang Bucks loyalty dollars (you must be a member - it's free to sign up!)

Write a book review


Author Biography - Terence C. Mills

Terence C. Mills is Professor of Applied Statistics and Econometrics, Loughborough University. He is the co-editor of the Palgrave Handbook of Econometrics and has over 170 publications. Raphael N. Markellos is Professor of Quantitative Finance at Athens University of Economics and Business, and Visiting Research Fellow at the Centre for International Financial and Economic Research (CIFER), Loughborough University.

Boomerang Bucks close

For every $20 you spend on books, you will receive $1 in Boomerang Bucks loyalty dollars. You can use your Boomerang Bucks as a credit towards a future purchase from Boomerang Books. Note that you must be a Member (free to sign up) and that conditions do apply.

Recent books by Terence C. Mills close
Time Series Econometrics by Terence C. Mills
Analysing Economic Data by Terence C. Mills
Very British Affair by Terence C. Mills
Foundations of Modern Time Series Analysis by Terence C. Mills
Palgrave Handbook of Econometrics by Terence C. Mills
Palgrave Handbook of Econometrics by Terence C. Mills
Time Series Techniques for Economists by Terence C. Mills
»
Recent books by Raphael N. Markellos close
Econometric Modelling of Financial Time Series by Raphael N. Markellos
»
BoomerangBooks.com.au close