The Econometric Modelling of Financial Time Series

The Econometric Modelling of Financial Time Series
Author :
Publisher : Cambridge University Press
Total Pages : 255
Release :
ISBN-10 : 0521422574
ISBN-13 : 9780521422574
Rating : 4/5 (574 Downloads)

Book Synopsis The Econometric Modelling of Financial Time Series by : Terence C. Mills

Download or read book The Econometric Modelling of Financial Time Series written by Terence C. Mills and published by Cambridge University Press. This book was released on 1995-04-20 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides detailed coverage of the variety of models that are currently being used in the empirical analysis of financial markets. Covering bond equity and foreign exchange markets, it is aimed at scholars and practitioners wishing to acquire an understanding of the latest research techniques and findings in the field, and also at graduate students wishing to research in financial markets. The book is divided into two main sections, covering univariate models, and econometric and multivariate techniques respectively. In the former, the areas covered include linear and non-linear stochastic models, random walk, unit root tests, GARCH models, deterministic chaos, trend reversion, and bubbles. In the latter, regression models, time varying parameter models, the Kalman filter, vector autoregressions, present value models, and cointegration are discussed.


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