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The Econometric Modelling of Financial Time Series | 
 enlarge | Authors: Terence C. Mills, Raphael N. Markellos
Publisher: Cambridge University Press
Category: Book
List Price: $48.00
Buy New: $37.95
You Save: $10.05 (21%)
New (23) Used (6) from $37.95
Avg. Customer Rating:  2 reviews
Sales Rank: 333828
Media: Paperback
Edition: 3
Number Of Items: 1
Pages: 470
Shipping Weight (lbs): 2
Dimensions (in): 9.7 x 6.9 x 1.2
ISBN: 052171009X
Dewey Decimal Number: 332.015195
EAN: 9780521710091
ASIN: 052171009X
Publication Date: April 21, 2008
Availability: Usually ships in 1-2 business days
Shipping: Expedited shipping available
Shipping: International shipping available
Condition: Ships next business day from NY
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Product Description
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.
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. The third edition contains a wealth of new material reflecting the developments of the last decade, including a new chapter on nonlinearity and its testing.
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| Customer Reviews:
 Poorly Written and Unclear January 10, 2001
10 out of 11 found this review helpful
Obviously patched together from topics written over a period of time, this book is not cohesive nor understandable. Mills doesn't spend any words developing his topics nor explaning the development. Spend your resources on Hamilton's classic and great definative bible, Time Series Analysis instead.
 it's a terrific book for non-linear time series analysis April 6, 2000
15 out of 20 found this review helpful
This is a very compact, practical book. It edits in a very readable way. What I like it most is that it contributes to non-linear time series analysis a lot, whereas not too many other time series related books do. The real data in the appendix can be downloaded and played around by the readers. You will really have a great time to read it.
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