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.
