The Econometric Modelling of Financial Time Series by Terence C. Mills, Raphael N. Markellos

This textbook provides detailed coverage of the latest research techniques and findings relating to the empirical analysis of financial markets. The third edition contains a wealth of new material reflecting the developments of the last decade. 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.

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.
There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.

Contents
List of figures
List of tables
Preface to the third edition
1 Introduction
2 Univariate linear stochastic models: basic concepts
3 Univariate linear stochastic models: testing for unit roots and alternative trend specifications
4 Univariate linear stochastic models: further topics
5 Univariate non-linear stochastic models: martingales, random walks and modelling volatility
6 Univariate non-linear stochastic models: further models and testing procedures
7 Modelling return distributions
8 Regression techniques for non-integrated financial time series
9 Regression techniques for integrated financial time series
10 Further topics in the analysis of integrated financial time series
Data appendix
References
Index