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Mills T.C., Markellos R.N. The Econometric Modelling of Financial Time Series (3d edition)

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Mills T.C., Markellos R.N. The Econometric Modelling of Financial Time Series (3d edition)
Cambridge, Cambridge University Press, 2008. - 472p.
Монография посвящена методам моделирования ценовых рядов и других финансовых временных рядов. Рассматриваются авторегрессионые модели и их обобщения, случайное блуждание, переменная во времени волатильность и модели типа ARCH, негауссовы распределения доходностей и использование для анализа таких рядов регрессионного анализа.
Для научных работников и аспирантов в области эконометрики, теории вероятностей и финансовой математики.
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