The Econometric Modelling of Financial Time Series

February 26, 2009

Authors: Terence C. Mills and Raphael N. Markellos

Edition: Third

Publisher: Cambridge University Press

Pages: 468

Price: £65.00 and £25.99

ISBN 9780521883818 and 710091

This new edition of a well-established text has now acquired a second author as well as another 100 pages. What started out as a work of half the length, which could be absorbed almost in its entirety over a one-semester course, has now become another weighty work of reference. Never mind. While I liked the concise original, this remains an up-to-date and very readable intermediate text.

Who is it for? Graduate students and practitioners of financial econometrics.

Presentation: A good mix of theory and empirical examples.

Would you recommend it? Highly. In the previous editions, this has been my favourite text for applied time series courses.

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