The Econometric Modelling of Financial Time Series 3rd

CAMBRIDGE UNIVERSITY PRESS 2008 In the nine years since the manuscript for the second edition of The Econometric Modelling of Financial Time Series was completed there have continued to be many advances in time series econometrics, some of which have been in direct response to features found in the data coming from financial markets, while others have found ready application in financial fields. Incorporating these developments was too much for a single author, particularly one whose interests have diverged from financial econometrics quite significantly in the intervening years! Raphael Markellos has thus become joint author, and his interests and expertise in finance now permeate throughout this new edition, which has had to be lengthened somewhat to accommodate many new developments in the area.