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The econometric modelling of financi...

Mills, Terence C.,

The econometric modelling of financial time series /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	332/.01/5195
書名/作者:	The econometric modelling of financial time series // Terence C. Mills.
作者:	Mills, Terence C.,
面頁冊數:	1 online resource (viii, 372 pages) : : digital, PDF file(s).
附註:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
標題:	Finance - Econometric models.
標題:	Time-series analysis.
標題:	Stochastic processes.
ISBN:	9780511754128 (ebook)
摘要、提要註:	Substantially revised and updated second edition of Terry Mills' best-selling graduate textbook The Econometric Modelling of Financial Time Series. The 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 wishing to acquire an understanding of the latest research techniques and findings, and also graduate students wishing to research into financial markets. This second edition includes a great deal of new material, and also provides a more in-depth treatment of two crucial, and related, areas: the theory of integrated processes and cointegration. The new material discusses the distributional properties of asset returns and more recent and novel techniques of analysing and interpreting vector autoregressions that contain integrated and possibly cointegrated variables. Data appendix available online at www.lboro.ac.uk/departments/ec/cup.
電子資源:	http://dx.doi.org/10.1017/CBO9780511754128

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

The econometric modelling of financial time series /Terence C. Mills. - Second edition. - 1 online resource (viii, 372 pages) :digital, PDF file(s).

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

Substantially revised and updated second edition of Terry Mills' best-selling graduate textbook The Econometric Modelling of Financial Time Series. The 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 wishing to acquire an understanding of the latest research techniques and findings, and also graduate students wishing to research into financial markets. This second edition includes a great deal of new material, and also provides a more in-depth treatment of two crucial, and related, areas: the theory of integrated processes and cointegration. The new material discusses the distributional properties of asset returns and more recent and novel techniques of analysing and interpreting vector autoregressions that contain integrated and possibly cointegrated variables. Data appendix available online at www.lboro.ac.uk/departments/ec/cup.

ISBN: 9780511754128 (ebook)Subjects--Topical Terms:

403671
Finance
--Econometric models.

LC Class. No.: HG174 / .M55 1999

Dewey Class. No.: 332/.01/5195

The econometric modelling of financial time series /
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245 1 4 $a The econometric modelling of financial time series / $c Terence C. Mills.
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500 $a Title from publisher's bibliographic system (viewed on 05 Oct 2015).
520 $a Substantially revised and updated second edition of Terry Mills' best-selling graduate textbook The Econometric Modelling of Financial Time Series. The 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 wishing to acquire an understanding of the latest research techniques and findings, and also graduate students wishing to research into financial markets. This second edition includes a great deal of new material, and also provides a more in-depth treatment of two crucial, and related, areas: the theory of integrated processes and cointegration. The new material discusses the distributional properties of asset returns and more recent and novel techniques of analysing and interpreting vector autoregressions that contain integrated and possibly cointegrated variables. Data appendix available online at www.lboro.ac.uk/departments/ec/cup.
650 0 $a Finance $x Econometric models. $3 403671
650 0 $a Time-series analysis. $3 224119
650 0 $a Stochastic processes. $3 177592
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856 4 0 $u http://dx.doi.org/10.1017/CBO9780511754128

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