The econometric modelling of financial time series / Terence C. Mills.Material type: TextLanguage: English Publication details: Cambridge ; New York, NY : Cambridge University Press, 1993. Description: viii, 247 p. : ill. ; 24 cmISBN: 0521410487Subject(s): Finance -- Econometric models | Time-series analysis | Stochastic processesDDC classification: 332.015195 LOC classification: HG174 | .M55 1993Online resources: WorldCat details
|Item type||Current library||Collection||Call number||Copy number||Status||Date due||Barcode||Item holds|
|Text||EWU Library Reserve Section||Non-fiction||332.015195 MIE 1993 (Browse shelf(Opens below))||C-1||Not For Loan||30390|
System requirements for computer disk: IBM-compatible PC; DOS; high-density floppy disk.
Includes bibliographical references (p. 226-241) and index.
TOC 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.
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.