The econometric modelling of financial time series

By:

Mills Terence C

Contributor(s):

Publication details: Cambridge Cambridge University Press 1999Edition: 2ndDescription: 372p viiISBN:

9780521624923

Subject(s):

1. Finance - Econometric Models.2. Time - Series Analysis.3. Stochastic Processes

DDC classification:

332.010000 MIL

Contents:

Contents Preface to second edition; 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; Data appendix; References.

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Holdings
Item type	Current library	Shelving location	Call number	Status	Date due	Barcode
BOOKs	National Law School	Library Compactors	332.01 MIL (Browse shelf(Opens below))	Available		18331

Contents
Preface to second edition;
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;
Data appendix;
References.

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