Econometric Modelling of Financial Time Series Book

List of figures

List of tables

1 Introduction 1

2 Univariate linear stochastic models: basic concepts 9

3 Univariate linear stochastic models: testing for unit roots and alternative trend specifications 65

4 Univariate linear stochastic models: further topics 111

5 Univariate non-linear stochastic models: martingales, random walks, and modelling volatility 151

6 Univariate non-linear stochastic models: further models and testing procedures 206

7 Modelling return distributions 247

8 Regression techniques for non-integrated financial time series 274

9 Regression techniques for integrated financial time series 329

10 Further topics in the analysis of integrated financial time series 388

Data appendix 411

References 412

Index 446