The econometric modelling of financial time series /
Mills, Terence C.
The econometric modelling of financial time series / Terence C. Mills. - Cambridge ; New York, NY : Cambridge University Press, 1993. - viii, 247 p. : ill. ; 24 cm.
System requirements for computer disk: IBM-compatible PC; DOS; high-density floppy disk.
Includes bibliographical references (p. 226-241) and index.
ntroduction; 1. Univariate linear stochastic models: basic concepts; 2. Univariate linear stochastic models: further topics; 3. Univariate non-linear stochastic models; 4. Regression techniques for non-integrated financial time series; 5. Regression techniques for integrated financial time series; 6. Further topics in the multivariate modelling of financial time series; 7. Future developments in the modelling of financial time series; Data appendix. TOC
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, and at graduate students wishing to research in financial markets.
0521410487
92037624
Finance--Econometric models.
Time-series analysis.
Stochastic processes.
HG174 / .M55 1993
332.015195 / MIE 1993
The econometric modelling of financial time series / Terence C. Mills. - Cambridge ; New York, NY : Cambridge University Press, 1993. - viii, 247 p. : ill. ; 24 cm.
System requirements for computer disk: IBM-compatible PC; DOS; high-density floppy disk.
Includes bibliographical references (p. 226-241) and index.
ntroduction; 1. Univariate linear stochastic models: basic concepts; 2. Univariate linear stochastic models: further topics; 3. Univariate non-linear stochastic models; 4. Regression techniques for non-integrated financial time series; 5. Regression techniques for integrated financial time series; 6. Further topics in the multivariate modelling of financial time series; 7. Future developments in the modelling of financial time series; Data appendix. TOC
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, and at graduate students wishing to research in financial markets.
0521410487
92037624
Finance--Econometric models.
Time-series analysis.
Stochastic processes.
HG174 / .M55 1993
332.015195 / MIE 1993