The Econometric Modelling of Financial Time Series

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9780521883818: The Econometric Modelling of Financial Time Series

Terence 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 substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.

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Book Description:

This best-selling graduate textbook provides detailed coverage of the latest research techniques and findings relating to the empirical analysis of financial markets. This third edition contains a wealth of material reflecting the developments of the last decade, including a new chapter on nonlinearity and its testing.

About the Author:

Terence C. Mills is Professor of Applied Statistics and Econometrics, Loughborough University. He is the co-editor of the Palgrave Handbook of Econometrics and has over 170 publications.

Raphael N. Markellos is Professor of Quantitative Finance at Athens University of Economics and Business, and Visiting Research Fellow at the Centre for International Financial and Economic Research (CIFER), Loughborough University.

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1.

Terence C. Mills, Raphael N. Markellos
Editorial: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2008)
ISBN 10: 0521883814 ISBN 13: 9780521883818
Nuevos Tapa dura Cantidad: 1
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Descripción CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2008. Hardback. Estado de conservación: New. 3rd Revised edition. Language: English . Brand New Book. Terence 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 substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing. Nº de ref. de la librería AAA9780521883818

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Mills, Terence C.
Editorial: Cambridge University Press (2008)
ISBN 10: 0521883814 ISBN 13: 9780521883818
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Descripción Cambridge University Press, 2008. HRD. Estado de conservación: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Nº de ref. de la librería FM-9780521883818

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Terence C. Mills, Raphael N. Markellos
Editorial: Cambridge University Press
ISBN 10: 0521883814 ISBN 13: 9780521883818
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Descripción Cambridge University Press. Hardback. Estado de conservación: new. BRAND NEW, The Econometric Modelling of Financial Time Series (3rd Revised edition), Terence C. Mills, Raphael N. Markellos, Terence Mills' best-selling graduate textbook provides detailed coverage of the latest 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. The third edition, co-authored with Raphael Markellos, contains a wealth of new 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 substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing. Nº de ref. de la librería B9780521883818

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Terence C. Mills, Raphael N. Markellos
Editorial: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2008)
ISBN 10: 0521883814 ISBN 13: 9780521883818
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Descripción CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2008. Hardback. Estado de conservación: New. 3rd Revised edition. Language: English . Brand New Book. Terence 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 substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing. Nº de ref. de la librería AAA9780521883818

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Terence C. Mills/ Raphael N. Markellos
Editorial: Cambridge Univ Pr (2008)
ISBN 10: 0521883814 ISBN 13: 9780521883818
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Descripción Cambridge Univ Pr, 2008. Hardcover. Estado de conservación: Brand New. 3rd edition. 456 pages. 9.75x7.00x1.25 inches. In Stock. Nº de ref. de la librería __0521883814

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TERENCE C. MILLS , RAPHAEL N. MARKELLOS
ISBN 10: 0521883814 ISBN 13: 9780521883818
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Descripción 2008. Hardback. Estado de conservación: NEW. 9780521883818 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Nº de ref. de la librería HTANDREE01227055

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Terence C. Mills; Raphael N. Markellos
Editorial: Cambridge University Press (2008)
ISBN 10: 0521883814 ISBN 13: 9780521883818
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Descripción Cambridge University Press, 2008. Hardcover. Estado de conservación: New. book. Nº de ref. de la librería M0521883814

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