The Econometric Modelling of Financial Time Series
Edition: 2 edition
Publisher: Cambridge University Press
Published: September 28, 1999
Language: eng
Format: Paperback
Number of pages: 380
ISBN-13: 9780521624923
Subjects: Finance; General; Econometric models; Business & Economics; Business / Economics / Finance; Business/Economics; Stochastic processes; Econometrics; Business & Economics / Econometrics; Finance--Econometric models; Finance--Econometric models Finance--Economet; Mathematics : General; Time-series analysis
First sentence: Chapter 1 has emphasised the standard representation of a financial time series as that of a (univariate) linear stochastic process, specifically as being a member of the class of ARIMA models popularised by Box and Jenkins (1976).