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.
The Econometric Modelling of Financial Time Series
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Book Description
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
"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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Most Helpful Customer Reviews
12 of 13 people found the following review helpful:
2.0 out of 5 stars
Poorly Written and Unclear,
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This review is from: The Econometric Modelling of Financial Time Series (Paperback)
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.
15 of 21 people found the following review helpful:
5.0 out of 5 stars
it's a terrific book for non-linear time series analysis,
By Xiaodong Jin (USA) - See all my reviews
This review is from: The Econometric Modelling of Financial Time Series (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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Inside This Book
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Key Phrases - Statistically Improbable Phrases (SIPs):
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infinite variance errors, strict white noise, linear stochastic models, simulated frequency distribution, driftless random walk, tail indices, econometric modelling, financial time series, cent critical values, unit root null, bilinear process, present value model, two unit roots, cointegrating rank, random walk component, one unit root, auxiliary regression, cointegrating regression, marginal significance level, covariance stationarity, bilinear model, cointegrating vectors, weak exogeneity, financial series, tail index Key Phrases - Capitalized Phrases (CAPs): (learn more)
All Share, Monte Carlo, London Stock Exchange, Lagrange Multiplier, Further Topics Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
infinite variance errors, strict white noise, linear stochastic models, simulated frequency distribution, driftless random walk, tail indices, econometric modelling, financial time series, cent critical values, unit root null, bilinear process, present value model, two unit roots, cointegrating rank, random walk component, one unit root, auxiliary regression, cointegrating regression, marginal significance level, covariance stationarity, bilinear model, cointegrating vectors, weak exogeneity, financial series, tail index Key Phrases - Capitalized Phrases (CAPs): (learn more)
All Share, Monte Carlo, London Stock Exchange, Lagrange Multiplier, Further Topics Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
Citations (learn more)
28
books
cite this book:
See all 28 books citing this book
- Modelling Trends and Cycles in Economic Time Series (Palgrave Texts in Econometrics) by Terence C. Mills in Front Matter, and Back Matter
- Financial Markets Tick By Tick by Pierre Lequeux in Front Matter, and page 253
- Stochastic Implied Volatility: A Factor-Based Model (Lecture Notes in Economics and Mathematical Systems) by Reinhold Hafner in Back Matter
- Non-Linear Time Series Models in Empirical Finance by Philip Hans Franses in Back Matter
- Understanding Macroeconomic Theory (Routledge Advanced Texts in Economics and Finance) by Bradley T. Ewing in Back Matter
See all 28 books citing this book
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