Terence C. Mills, Raphael N. Markellos
Cambridge, UK: Cambridge University Press, 2008
456pp, ISBN: 978-0-521-71009-1
This textbook on the econometrics of financial modeling presents the latest research in economic time series, and explains how it can be applied to an analysis of the financial markets. It focuses on volatility, nonlinearity, non-linear models used to analyze financial data at high frequencies, the long memory characteristics found in financial time series, and the modeling of trends and structural breaks.