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Hi Glen
Don't worry ... nobody reads this list on the long weekend.
These "puppies" should be at your local library right next to hockey. <G>
The Econometric Modelling of Financial Time Series
by Terence C. Mills
Reviews
Book Description
Including bond equity and foreign exchange markets, this book provides
detailed coverage of the variety of models that are currently being used in
the empirical analysis of financial markets. It is aimed at scholars as well
as practitioners wishing the latest research techniques and findings.
This book provides in a single text detailed coverage of the variety of
models that are currently being used in the empirical analysis of financial
markets. Covering bond equity and foreign exchange markets, it is aimed at
scholars and practitioners wishing to acquire an understanding of the latest
research techniques and findings in the field, and also at graduate students
wishing to research in financial markets.
The book is divided into two main sections, covering univariate models, and
econometric and multivariate techniques respectively. In the former, the
areas covered include linear and non-linear stochastic models, random walks,
unit root tests, GARCH models, deterministic chaos, trend reversion, and
bubbles. In the latter, regression models, time-varying parameter models,
vector autoregressions, present value models, and cointegration are
discussed.
Paperback Bk&Disk edition (May 1995)
Cambridge Univ Pr (Pap Txt); ISBN: 0521422574 ;
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If you're bored with Kaufman try this
Time Series Analysis
by James D. Hamilton
Table of Contents
Preface
1. Difference Equations
2. Lag Operators
3. Stationary ARMA Processes
4. Forecasting
5. Maximum Likelihood Estimation
6. Spectral Analysis
7. Asymptotic Distribution Theory
8. Linear Regression Models
9. Linear Systems of Simultaneous Equations
10. Covariance-Stationary Vector Processes
11. Vector Autoregressions
12. Bayesian Analysis
13. The Kalman Filter
14. Generalized Method of Moments
15. Models of Nonstationary Time Series
16. Processes with Deterministic Time Trends
17. Univariate Processes with Unit Roots
18. Unit Roots in Multivariate Time Series
19. Cointegration
20. Full-Information Maximum Likelihood Analysis of Cointegrated Systems
21. Time Series Models of Heteroskedasticity
22. Modeling Time Series with Changes in Regime
A Mathematical Review
B Statistical Tables
C Answers to Selected Exercises
D Greek Letters and Mathematical Symbols Used in the Text
Author Index
Subject Index
=======================
B.B. Mandelbrot: A Multifractal Walk down Wall Street Scientific American,
February 1999
The other Mandelbrot article that I referred to was 1997: Three Fractal
Models in Finance: Discontinuity, Concentration, Risk
The rest are Mantegna's stuff:
R.N Mantegna: Limit theorems and price changes in financial markets,
Philosofical Magazine B 77 (1998) 1353-1356
R. N. Mantegna: Levy walks and enhanced diffusion in Milan Stock exchange,
Physica A 179 (1991) 232-242
R. N. Mantegna, H. E. Stanley: Stochastic Processes with Ultraslow
Convergence to a Gaussian: The Truncated Levy Flight, Physical Review
Letters 73 (1994) 2946-2949
R. N. Mantegna ans H. E. Stanley: Econophysics: Scaling and its Breakdown in
Finance, J. Stat. Phys. 89 (1997) 469-479
R. N. Mantegna, H. E. Stanley: Modeling of financial data: Comparison of the
truncated levy flight and the ARCH(1) and GARCH(1,1) processes, Physica A
254 (1998) 77-84
R. N. Mantegna, H. E. Stanley: Scaling behaviour in the dynamics of an
economics index, Nature 376 (1995) 46-49
R. N. Mantegna, H. E. Stanley: Turbolence and financial markets Nature 383
(1996) 587-588
R. N. Mantegna: Fast, accurate algorithm for numerical simulation of Levy
stable stochastic processes,
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