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The econometric modelling of financial time series / Terence C. Mills.

By: Mills, Terence CMaterial type: TextTextLanguage: 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
Contents:
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.
Summary: 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.
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Holdings
Item type Current library Collection Call number Copy number Status Date due Barcode Item holds
Text Text Dr. S. R. Lasker Library, EWU
Reserve Section 		Non-fiction 332.015195 MIE 1993 (Browse shelf(Opens below)) C-1 Not For Loan 30390
Total holds: 0

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.

Economics Economics

Sagar Shahanawaz

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