The Econometric Modelling of Financial Time Series [Paperback]

Terence C. Mills (Author)

Book Description

Publication Date: September 28, 1999 | ISBN-10: 0521624924 | ISBN-13: 978-0521624923 | Edition: 2

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.

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.

See all Editorial Reviews

Product Details

• Paperback: 384 pages
• Publisher: Cambridge University Press; 2 edition (September 28, 1999)
• Language: English
• ISBN-10: 0521624924
• ISBN-13: 978-0521624923
• Product Dimensions: 8.9 x 5.9 x 1.2 inches
• Shipping Weight: 1.3 pounds
• Average Customer Review: 3.5 out of 5 stars  See all reviews (2 customer reviews)
• Amazon Best Sellers Rank: #2,480,521 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

12 of 13 people found the following review helpful:

2.0 out of 5 stars Poorly Written and Unclear, January 9, 2001

By 

P. H. Lasky (Rancho Santa Fe, CA United States) - See all my reviews
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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.

16 of 22 people found the following review helpful:

5.0 out of 5 stars it's a terrific book for non-linear time series analysis, April 5, 2000

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.