Terence Mills' best-selling graduate textbook provides detailed
coverage of the latest 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. The third edition,
co-authored with Raphael Markellos, contains a wealth of new
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.
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