Authors: Terence C. Mills and Raphael N. Markellos
Publisher: Cambridge University Press
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.