List of figures

List of tables

Preface to the third edition

1. Introduction

2. Univariate linear stochastic models  basic concepts

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

4. Univariate linear stochastic models: further topics

 5. Univariate non-linear stochastic models: Martingales, random walks and modelling volatility

 6. Univariate non-linear stochastic models: Further models and testing procedures

 7. Modelling return distributions

 8. Regression techniques for non-integrated financial time series

 9. Regression techniques for integrated financial time series

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

Data appendix

References.