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The econometric modelling of financial time series

Author: Terence C Mills
Publisher: Cambridge [u.a.] : Cambridge Univ. Press, 1999.
Edition/Format:   Print book : English : 2. edView all editions and formats
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Fully revised second edition of the best-selling graduate and practitioner text.

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Terence C Mills
ISBN: 0521624134 9780521624138 0521624924 9780521624923
OCLC Number: 245675660
Notes: Literaturverz. S. 342 - 365.
Description: VIII, 372 S : graph. Darst ; 24 cm
Contents: Preface to second edition; 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.
Responsibility: Terence C. Mills.
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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 Read more...

 
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