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.

'A valuable textbook for a graduate course in the econometrics of financial modelling.' Svend Hylleberg, The Economic Journal

• 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.

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.

'A valuable textbook for a graduate course in the econometrics of financial modelling.' Svend Hylleberg, The Economic Journal

• 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.

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.

'A valuable textbook for a graduate course in the econometrics of financial modelling.' Svend Hylleberg, The Economic Journal

• 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.