The Econometric Modelling of Financial Time Series (inbunden)
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Format
Inbunden (Hardback)
Språk
Engelska
Antal sidor
255
Utgivningsdatum
1993-10-01
Förlag
Cambridge University Press
Antal komponenter
1
ISBN
9780521410489
The Econometric Modelling of Financial Time Series (inbunden)

The Econometric Modelling of Financial Time Series

Inbunden Engelska, 1993-10-01
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This book provides detailed coverage of the variety of models that are currently being used in the empirical analysis of financial markets. Covering bond equity and foreign exchange markets, it is aimed at scholars and practitioners wishing to acquire an understanding of the latest research techniques and findings in the field, and also at graduate students wishing to research in financial markets. The book is divided into two main sections, covering univariate models, and econometric and multivariate techniques respectively. In the former, the areas covered include linear and non-linear stochastic models, random walk, unit root tests, GARCH models, deterministic chaos, trend reversion, and bubbles. In the latter, regression models, time varying parameter models, the Kalman filter, vector autoregressions, present value models, and cointegration are discussed.
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'Professor Mills has been remarkably successful in presenting an up-to-date account of the current state of modelling financial time series. The style is informal and non-rigorous ... it can be read from cover to cover with relative ease and enjoyment, or more conventionally used as a reference.' Nigel Meade, International Journal of Forecasting

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Innehållsförteckning

Introduction; 1. Univariate linear stochastic models: basic concepts; 2. Univariate linear stochastic models: further topics; 3. Univariate non-linear stochastic models; 4. Regression techniques for non-integrated financial time series; 5. Regression techniques for integrated financial time series; 6. Further topics in the multivariate modelling of financial time series; 7. Future developments in the modelling of financial time series; Data appendix.