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Mills Terence C

The econometric modelling of financial time series - 2nd - Cambridge Cambridge University Press 1999 - 372p vii

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.

ISBN: 9780521624923

Subjects--Topical Terms:
1. Finance - Econometric Models.2. Time - Series Analysis.3. Stochastic Processes

Dewey Class. No.: 332.010000 / MIL