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The Econometric Modelling of Financial Time Series. 3rd ed. 金融時系列計量経済学的モデリング 第3版
・ISBN 978-0-521-88381-8 hard GB£ 67.00
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・ISBN 978-0-521-71009-1 paper GB£ 49.00
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-0-511-81738-0
| 著者・編者 | Mills, Terence C. / Markellos, R. N., |
|---|---|
| 出版社 | (Cambridge U. Pr., UK) |
| 出版年月 | 2008 |
| ページ数 | 456 pp. |
| 言語 | ENG |
| ニュース番号 | ＜549-277 557-343＞ |
解説
Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.