内容

目次

1. Introduction; 2. Econometric packages for modelling financial data;3. A brief overview of the classical linear regression model; 4. Furtherissues with the classical linear regression model; 5. Univariate time seriesmodelling and forecasting; 6. Multivariate modelling; 7. Modelling long-runrelationships in finance; 8. Modelling volatility and correlation; 9.Modelling regime shifts; 10. Simulation methods; 11. Conducting empiricalresearch in finance; 12. Conclusions: recent and future developments in themodelling of financial time series; References; Appendix: review of matrixalgebra, calculus and probability theory; Statistical tables.