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The econometric modelling of financial time series / Terence C. Mills.

By: Material type: TextTextPublisher: Cambridge, UK ; New York : Cambridge University Press, 1999Edition: Second editionDescription: viii, 372 pages : illustrations ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 0521624134
  • 9780521624138
  • 0521624924
  • 9780521624923
Subject(s): DDC classification:
  • 332.015195 21
LOC classification:
  • HG174 .M55 1999
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.
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Holdings
Item type Current library Call number Copy number Status Date due Barcode
Book City Campus City Campus Main Collection 332.015195 MIL (Browse shelf(Opens below)) 1 Available A416152B

Includes bibliographical references and index.

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.

Machine converted from AACR2 source record.

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