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