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The Econometric Modelling of Financial Time Series

Terence C. Mills, Raphael N. Markellos
Cambridge, UK: Cambridge University Press, 2008
456pp, ISBN: 978-0-521-71009-1
www.cambridge.org

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.

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The Econometric Modelling of Financial Time Series

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Product Description

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.

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