Böcker av Terence C. Mills

Modelling trends and cycles in economic time series has a long history, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s.

This book develops the analysis of Time Series from its formal beginnings in the 1890s through to the publication of Box and Jenkins' watershed publication in 1970, showing how these methods laid the foundations for the modern techniques of Time Series analysis that are in use today.

Substantially revised and updated second edition of Terry Mills' best-selling graduate textbook The Econometric Modelling of Financial Time Series. The book provides detailed coverage of the variety of models that are currently being used in the empirical analysis of financial markets. Covering bond, equity and foreign exchange markets, it is aimed at scholars and practitioners wishing to acquire an understanding of the latest research techniques and findings, and also graduate students wishing to research into financial markets. This second edition includes a great deal of new material, and also provides a more in-depth treatment of two crucial, and related, areas: the theory of integrated processes and cointegration. The new material discusses the distributional properties of asset returns and more recent and novel techniques of analysing and interpreting vector autoregressions that contain integrated and possibly cointegrated variables. Data appendix available online at www.lboro.ac.uk/departments/ec/cup.

This book provides an introductory treatment of time series econometrics, a subject that is of key importance to both students and practitioners of economics. It contains material that any serious student of economics and finance should be acquainted with if they are seeking to gain an understanding of a real functioning economy.