東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

The Econometric Modelling of Financi...

Mills, Terence C.

Linked to FindBook

Google Book

Amazon

博客來

The Econometric Modelling of Financial Time Series.

Record Type:	Electronic resources : Monograph/item
Title/Author:	The Econometric Modelling of Financial Time Series./
Author:	Mills, Terence C.
Published:	Cambridge :Cambridge University Press, : 1999.,
Description:	380 p.
[NT 15003449]:	Contents; Preface to the second edition; 1 Introduction; 2 Univariate linear stochastic models: basic concepts; 2.1 Stochastic processes, ergodicity and stationarity; 2.2 Stochastic difference equations; 2.3 ARMA processes; 2.4 Linear stochastic processes; 2.5 ARMA model building; 2.6 Non-stationary processes and ARIMA models; 2.7 ARIMA modelling; 2.8 Forecasting using ARIMA models; 3 Univariate linear stochastic models: further topics; 3.1 Determining the order of integration of a time series; 3.2 Decomposing time series: unobserved component models and signal extraction
[NT 15003449]:	3.3 Measures of persistence and trend reversion3.4 Fractional integration and long memory processes; 4 Univariate non-linear stochastic models; 4.1 Martingales, random walks and non-linearity; 4.2 Testing the random walk hypothesis; 4.3 Stochastic volatility; 4.4 ARCH processes; 4.5 Other non-linear univariate models; 4.6 Testing for non-linearity; 5 Modelling return distributions; 5.1 Descriptive analysis of three returns series; 5.2 Two
Subject:	Finance.; Stochastic processes. -
Online resource:	http://dx.doi.org/10.1017/CBO9780511754128Click here to view book
ISBN:	9780511754128 (electronic bk.)

The Econometric Modelling of Financial Time Series.
Mills, Terence C.

The Econometric Modelling of Financial Time Series.[electronic resource]. - Cambridge :Cambridge University Press,1999. - 380 p.

Contents; Preface to the second edition; 1 Introduction; 2 Univariate linear stochastic models: basic concepts; 2.1 Stochastic processes, ergodicity and stationarity; 2.2 Stochastic difference equations; 2.3 ARMA processes; 2.4 Linear stochastic processes; 2.5 ARMA model building; 2.6 Non-stationary processes and ARIMA models; 2.7 ARIMA modelling; 2.8 Forecasting using ARIMA models; 3 Univariate linear stochastic models: further topics; 3.1 Determining the order of integration of a time series; 3.2 Decomposing time series: unobserved component models and signal extraction

Fully revised and updated, the second edition of the best-selling The Econometric Modelling of Financial Time Series provides comprehensive coverage of the variety of models currently used in the empirical analysis of financial markets. Data appendix available online at www.lboro.ac.uk/departments/ec/cup

Electronic reproduction.

Available via World Wide Web.

Mode of access: World Wide Web.

ISBN: 9780511754128 (electronic bk.)Subjects--Topical Terms:

1898148
Finance.; Stochastic processes.
Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HG174 .M55 1999eb

Dewey Class. No.: 332.015195

The Econometric Modelling of Financial Time Series.
LDR:02246nmm a22003013u 4500 001 1808829
003 AU-PeEL
005 20090601202836.0
006 m d
007 cr mn---------
008 231221t1999 ||| s |||||||eng|d
020 $a 9780511754128 (electronic bk.)
020 $a 9780521624138 (print)
035 $a EBL201899
035 $a EBL201899
035 $a 1808829
040 $a AU-PeEL $c AU-PeEL $d AU-PeEL
050 0 0 $a HG174 .M55 1999eb
082 0 0 $a 332.015195 $a 332/.01/5195
100 1 $a Mills, Terence C. $3 674901
245 1 4 $a The Econometric Modelling of Financial Time Series. $h [electronic resource].
260 $a Cambridge : $b Cambridge University Press, $c 1999.
300 $a 380 p.
505 0 $a Contents; Preface to the second edition; 1 Introduction; 2 Univariate linear stochastic models: basic concepts; 2.1 Stochastic processes, ergodicity and stationarity; 2.2 Stochastic difference equations; 2.3 ARMA processes; 2.4 Linear stochastic processes; 2.5 ARMA model building; 2.6 Non-stationary processes and ARIMA models; 2.7 ARIMA modelling; 2.8 Forecasting using ARIMA models; 3 Univariate linear stochastic models: further topics; 3.1 Determining the order of integration of a time series; 3.2 Decomposing time series: unobserved component models and signal extraction
505 8 $a 3.3 Measures of persistence and trend reversion3.4 Fractional integration and long memory processes; 4 Univariate non-linear stochastic models; 4.1 Martingales, random walks and non-linearity; 4.2 Testing the random walk hypothesis; 4.3 Stochastic volatility; 4.4 ARCH processes; 4.5 Other non-linear univariate models; 4.6 Testing for non-linearity; 5 Modelling return distributions; 5.1 Descriptive analysis of three returns series; 5.2 Two
520 $a Fully revised and updated, the second edition of the best-selling The Econometric Modelling of Financial Time Series provides comprehensive coverage of the variety of models currently used in the empirical analysis of financial markets. Data appendix available online at www.lboro.ac.uk/departments/ec/cup
533 $a Electronic reproduction. $n Available via World Wide Web.
538 $a Mode of access: World Wide Web.
650 4 $a Finance.; Stochastic processes. $3 1898148
655 7 $a Electronic books. $2 lcsh $3 542853
710 2 $a Ebooks Corporation. $3 1314793
776 1 $z 9780521624138
856 4 0 $z Click here to view book $u http://dx.doi.org/10.1017/CBO9780511754128