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Mills, Terence C.,

The econometric modelling of financial time series / Terence C. Mills. - Second edition. - viii, 372 pages : illustrations ; 24 cm

Includes bibliographical references and index.

Introduction -- Univariate linear stochastic models: basic concepts -- Univariate linear stochastic models: further topics -- Univariate non-linear stochastic models -- Modelling return distributions -- Regression techniques for non-integrated financial time series -- Regression techniques for integrated financial time series -- Further topics in the analysis of integrated financial time series. 1. 2. 3. 4. 5. 6. 7. 8.

ISBN: 0521624134 9780521624138 0521624924 9780521624923

LCCN: 98053587

Subjects--Topical Terms:
Finance--Econometric models
Time-series analysis
Stochastic processes.

LC Class. No.: HG174 / .M55 1999

Dewey Class. No.: 332.015195