Artículos relacionados a The Econometric Modelling of Financial Time Series

The Econometric Modelling of Financial Time Series - Tapa dura

Mills, Terence C.

 
9780521410489: The Econometric Modelling of Financial Time Series
Tapa dura
ISBN 10: 0521410487 ISBN 13: 9780521410489
Editorial: Cambridge University Press, 1993

Sinopsis

Provides detailed coverage of the models currently being used in the empirical analysis of financial markets.

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Críticas

'Professor Mills has been remarkably successful in presenting an up-to-date account of the current state of modelling financial time series. The style is informal and non-rigorous ... it can be read from cover to cover with relative ease and enjoyment, or more conventionally used as a reference.' Nigel Meade, International Journal of Forecasting

Reseña del editor

This 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 in the field, and also at graduate students wishing to research in financial markets. The book is divided into two main sections, covering univariate models, and econometric and multivariate techniques respectively. In the former, the areas covered include linear and non-linear stochastic models, random walk, unit root tests, GARCH models, deterministic chaos, trend reversion, and bubbles. In the latter, regression models, time varying parameter models, the Kalman filter, vector autoregressions, present value models, and cointegration are discussed.

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Editorial
Cambridge University Press
Año de publicación
1993
Idioma
Inglés
ISBN 10 
0521410487
ISBN 13 
9780521410489
Encuadernación
Tapa dura
Número de páginas
255
Contacto del fabricante
no disponible
Persona responsable
Avery
https://www.avery.fr/

chemin des peupliers 27
Dardilly
Francia