The econometric modelling of financial time series / Terence C. Mills.
This revised graduate textbook provides coverage of the variety of models that are being used in the empirical analysis of financial markets in the late 1990s. It covers bond, equity and foreign exchange markets.
Saved in:
| Online Access: |
Full Text (via Cambridge) |
|---|---|
| Main Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge, U.K. ; New York :
Cambridge University Press,
1999.
|
| Edition: | 2nd ed. |
| Subjects: |
Table of Contents:
- 1. Introduction
- 2. Univariate linear stochastic models: basic concepts
- 3. Univariate linear stochastic models: further topics
- 4. Univariate non-linear stochastic models
- 5. Modelling return distributions
- 6. Regression techniques for non-integrated financial time series
- 7. Regression techniques for integrated financial time series
- 8. Further topics in the analysis of integrated financial time series.