The econometric modelling of financial time series - Mills, Terence C; Markellos, Raphael N; Cambridge University Press (Cambridge, UK ; New York : Cambridge University Press, 2008)
-- Univariate linear stochastic models: basic concepts -- Univariate linear stochastic models: testing for unit roots and alternative trend specifications -- Univariate linear stochastic models: further topics -- Univariate non-linear stochastic models: martingales, random walks and modelling volatility -- Univariate non-linear stochastic models: further models and testing procedures -- Modelling return distributions -- Regression techniques for non-integrated financial time series -- Regression techniques for integrated financial time series -- Further topics in the analysis of integrated financial time series
Includes bibliographical references and index
Keywords: Finance -- Econometric models; Time-series analysis; Stochastic processes