The Econometric Modelling of Financial Time Series

DOI10.1017/CBO9780511817380zbMath1151.62082MaRDI QIDQ5386270

Raphael N. Markellos, Terence C. Mills

Publication date: 23 April 2008

zbMATH Keywords

unit rootsARMA modelsARIMA modelssignal extractionnonlinear modellingARCH processesreturn distributionsfinancial time series econometricsintegrated and non-integraded financial time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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