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.