The Econometric Modelling of Financial Time Series Mills Markellos Paperback 3e

The Econometric Modelling of Financial Time SeriesAuthor(s): Terence C. Mills, Raphael N. Markellos\nFormat: Paperback\nPublisher: Cambridge University Press, United Kingdom\nImprint: Cambridge University Press\nISBN-13: 9780521710091, 978-0521710091\nSynopsis\nTerence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been .