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The Econometric Modelling of Financial Time Series

The Econometric Modelling of Financial Time Series

The Econometric Modelling of Financial Time Series
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The Econometric Modelling of Financial Time Series

by Terence C. Mills

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  • Paperback
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ISBN 10
0521624924
ISBN 13
9780521624923
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About This Item

Cambridge Univ Pr, 1999. Paperback. New. 2nd edition. 372 pages. 9.25x6.00x1.00 inches.

Synopsis

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.

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Details

Bookseller
Revaluation Books GB (GB)
Bookseller's Inventory #
1-0521624924
Title
The Econometric Modelling of Financial Time Series
Author
Terence C. Mills
Format/Binding
Paperback
Book Condition
New New
Quantity Available
1
ISBN 10
0521624924
ISBN 13
9780521624923
Publisher
Cambridge Univ Pr
Date Published
1999

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Revaluation Books

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