The Econometric Modelling of Financial Time Series 2nd Edition

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ISBN-13: 978-0521624138
ISBN-10: 0521624134
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Editorial Reviews

Review

"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." International Journal of Forecasting

"Provides the researcher in financial markets with the techniques necessary to undertake the empirical analysis of financial time series by indroducing and developing both univariate modeling techniques and multivariate methods, including those regression techniques for time series that seem to be particularly relevant to the finance area." Journal of Economic Literature

Book Description

Fully revised and updated, the second edition of the best-selling The Econometric Modelling of Financial Time Series provides comprehensive coverage of the variety of models currently used in the empirical analysis of financial markets. Covering bond, equity and financial markets, it is essential for scholars and practitioners wishing to acquire an understanding of the latest research techniques and findings in the field, and also graduate students wishing to research in financial markets. It provides many examples to illustrate techniques that are only just emerging in the technical literature.
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Product Details

  • Hardcover: 384 pages
  • Publisher: Cambridge University Press; 2 edition (September 28, 1999)
  • Language: English
  • ISBN-10: 0521624134
  • ISBN-13: 978-0521624138
  • Product Dimensions: 6 x 1.3 x 9 inches
  • Shipping Weight: 1.4 pounds
  • Average Customer Review: 3.5 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Best Sellers Rank: #5,145,535 in Books (See Top 100 in Books)

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Most Helpful Customer Reviews

12 of 13 people found the following review helpful By P. H. Lasky on January 9, 2001
Format: Paperback Verified Purchase
Obviously patched together from topics written over a period of time, this book is not cohesive nor understandable. Mills doesn't spend any words developing his topics nor explaning the development. Spend your resources on Hamilton's classic and great definative bible, Time Series Analysis instead.
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16 of 22 people found the following review helpful By Xiaodong Jin on April 5, 2000
Format: Hardcover
This is a very compact, practical book. It edits in a very readable way. What I like it most is that it contributes to non-linear time series analysis a lot, whereas not too many other time series related books do. The real data in the appendix can be downloaded and played around by the readers. You will really have a great time to read it.
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