Substantially revised and
updated second edition of Terry Mills' best-selling graduate textbook The Econometric
Modelling of Financial Time Series. The 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, and also graduate students wishing to research into financial markets. This
second edition includes a great deal of new material that has been developed in the last
six years, and also provides a more in-depth treatment of two crucial, and related, areas:
the theory of integrated processes and cointegration. Completely new material discusses
the distributional properties of asset returns and recent and novel techniques of
analysing and interpreting vector autoregressions that contain integrated and possibly
cointegrated variables. Data appendix available online at
www.lboro.ac.uk/departments/ec/cup
Table of Contents
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.
Reviews
From the reviews of previous
editions: 'A valuable textbook for a graduate course in the econometrics of financial
modelling.' Svend Hylleberg, The Economic Journal
'A useful bridge between
finance and the latest research in economic time series. It will serve as a reference for
both academic researchers and quantitatively orientated financial practitioners ... a
useful package for someone wanting time series tools along with finance applications.'
Blake LeBaron, Journal of Economic Literature
'There has been a great
deal of empirical work on financial time series in recent years, which has utilized an
enormous variety of statistical models. This book provides a coherent introduction to many
of these models, some of which are of quite recent origin. The book will certainly be of
value to practitioners as well as to students.' Short Book Reviews
327 pages