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The Econometric Modelling of Financial Time Series. 2nd ed.
・ISBN 978-0-521-62413-8 hard US$ 90.00
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・ISBN 978-0-521-62492-3 paper
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-0-511-75412-8
| 著者・編者 | Mills, Terence C., |
|---|---|
| 出版社 | (Cambridge U. Pr., UK) |
| 出版年月 | 1999 |
| ページ数 | 392 pp. |
| 言語 | ENG |
| ニュース番号 | ＜456-263 456-L42＞ |
解説
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, and also provides a more in-depth treatment of two crucial, and related, areas: the theory of integrated processes and cointegration. The new material discusses the distributional properties of asset returns and more 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.