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Mills and Markellos(2008)3rd-The Econometric Modelling of Financial Time Series.pdf
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CAMBRIDGE UNIVERSITY PRESS 472 pages
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
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