The econometric modelling of financial time series:
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. Thi...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2008
|
| Edition: | Third edition |
| Subjects: | |
| Online Access: | BSB01 UBG01 Volltext |
| Summary: | 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 |
| Item Description: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Physical Description: | 1 online resource (xii, 456 pages) |
| ISBN: | 9780511817380 |
| DOI: | 10.1017/CBO9780511817380 |
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| id | DE-604.BV043924440 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:38:43Z |
| institution | BVB |
| isbn | 9780511817380 |
| language | English |
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| spelling | Mills, Terence C. Verfasser aut The econometric modelling of financial time series Terence C. Mills, Raphael N. Markellos Third edition Cambridge Cambridge University Press 2008 1 online resource (xii, 456 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) 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 Ökonometrisches Modell Finance / Econometric models Time-series analysis Stochastic processes Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Diskette (DE-588)4122115-1 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Ökonometrisches Modell (DE-588)4043212-9 s Zeitreihenanalyse (DE-588)4067486-1 s Diskette (DE-588)4122115-1 s 1\p DE-604 Stochastisches Modell (DE-588)4057633-4 s 2\p DE-604 Markellos, Raphael N. Sonstige oth Erscheint auch als Druckausgabe 978-0-521-71009-1 Erscheint auch als Druckausgabe 978-0-521-88381-8 https://doi.org/10.1017/CBO9780511817380 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Mills, Terence C. The econometric modelling of financial time series Ökonometrisches Modell Finance / Econometric models Time-series analysis Stochastic processes Zeitreihenanalyse (DE-588)4067486-1 gnd Kreditmarkt (DE-588)4073788-3 gnd Diskette (DE-588)4122115-1 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Stochastisches Modell (DE-588)4057633-4 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4073788-3 (DE-588)4122115-1 (DE-588)4043212-9 (DE-588)4057633-4 |
| title | The econometric modelling of financial time series |
| title_auth | The econometric modelling of financial time series |
| title_exact_search | The econometric modelling of financial time series |
| title_full | The econometric modelling of financial time series Terence C. Mills, Raphael N. Markellos |
| title_fullStr | The econometric modelling of financial time series Terence C. Mills, Raphael N. Markellos |
| title_full_unstemmed | The econometric modelling of financial time series Terence C. Mills, Raphael N. Markellos |
| title_short | The econometric modelling of financial time series |
| title_sort | the econometric modelling of financial time series |
| topic | Ökonometrisches Modell Finance / Econometric models Time-series analysis Stochastic processes Zeitreihenanalyse (DE-588)4067486-1 gnd Kreditmarkt (DE-588)4073788-3 gnd Diskette (DE-588)4122115-1 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Stochastisches Modell (DE-588)4057633-4 gnd |
| topic_facet | Ökonometrisches Modell Finance / Econometric models Time-series analysis Stochastic processes Zeitreihenanalyse Kreditmarkt Diskette Stochastisches Modell |
| url | https://doi.org/10.1017/CBO9780511817380 |
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