The Econometric Modelling of Financial Time Series

Terence C. Mills; Raphael N. Markellos

doi:10.1017/CBO9780511817380

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The Econometric Modelling of Financial Time Series

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3rd edition
Terence C. Mills, Loughborough University, Raphael N. Markellos, Norwich Business School, University of East Anglia

Publisher: Cambridge University Press
Online publication date: June 2012
Print publication year: 2008
Online ISBN: 9780511817380
DOI: https://doi.org/10.1017/CBO9780511817380

Subjects: Economics, Econometrics and Mathematical Methods, Finance and Accountancy

42.99 (GBP)

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The Econometric Modelling of Financial Time Series
3rd edition

Terence C. Mills, Raphael N. Markellos
Online ISBN: 9780511817380

Book DOI: https://doi.org/10.1017/CBO9780511817380
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Contents

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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.

‘A valuable textbook for a graduate course in the econometrics of financial modelling.’

Svend Hylleberg Source: The Economic Journal

‘A useful bridge between finance and the latest research in economic time series. It will serve as a reference for both academic researchers and quantitatively orientated financial practitioners … a useful package for someone wanting time series tools along with finance applications.’ Blake LeBaron, Journal of Economic Literature

‘Highly recommended …'

Source: The Times Higher Education Supplement

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The Econometric Modelling of Financial Time Series

This Book has been cited by the following publications. This list is generated based on data provided by Crossref.

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Contents

Frontmatter
pp i-iv

Contents
pp v-vii

List of figures
pp viii-x

List of tables
pp xi-xii

Preface to the third edition
pp xiii-xiv

1 - Introduction
pp 1-8

2 - Univariate linear stochastic models: basic concepts
pp 9-64

3 - Univariate linear stochastic models: testing for unit roots and alternative trend specifications
pp 65-110

4 - Univariate linear stochastic models: further topics
pp 111-150

5 - Univariate non-linear stochastic models: martingales, random walks and modelling volatility
pp 151-205

6 - Univariate non-linear stochastic models: further models and testing procedures
pp 206-246

7 - Modelling return distributions
pp 247-273

8 - Regression techniques for non-integrated financial time series
pp 274-328

9 - Regression techniques for integrated financial time series
pp 329-387

10 - Further topics in the analysis of integrated financial time series
pp 388-410

Data appendix
pp 411-411

References
pp 412-445

Index
pp 446-456

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The Econometric Modelling of Financial Time Series

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Contents

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