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
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|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|
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|332 MIE The economics of money, banking, and financial markets /||332 WIL Current readings on money, banking, and financial markets.||332.015118 BOF 2016 Financial econometrics using Stata /||332.015195 MIE 1993 The econometric modelling of financial time series /||332.019 BEH 2001 Behavioral finance /||332.024 Personal finance /||332.024 GIP 2005 Personal financial planning /|
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.