The Econometric Modelling of Financial Time Series Paperback
by Terence C. Mills
Paperback
- Information
Description
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.
Information
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Out of Stock - We are unable to provide an estimated availability date for this product
- Format:Paperback
- Pages:255 pages
- Publisher:Cambridge University Press
- Publication Date:20/04/1995
- Category:
- ISBN:9780521422574
Information
-
Out of Stock - We are unable to provide an estimated availability date for this product
- Format:Paperback
- Pages:255 pages
- Publisher:Cambridge University Press
- Publication Date:20/04/1995
- Category:
- ISBN:9780521422574