Communication System Design Using DSP Algorithms or Econometric Modelling of Financial Time Series

Communication System Design Using DSP Algorithms: With Laboratory Experiments for the Tms320c30

Author: Steven A Tretter

Designed for senior electrical engineering students, this textbook explores the theoretical concepts of digital signal processing and communication systems by presenting laboratory experiments using real-time DSP hardware. Each experiment begins with a presentation of the required theory and concludes with instructions for performing them. Engineering students gain experience in working with equipment commonly used in industry. This text features DSP-based algorithms for transmitter and receiver functions.

Booknews

A wire-bound laboratory text that explores the digital signal processing and communication systems theoretical concepts presented in typical senior elective courses by implementing them on actual hardware in real time. The primary focus is on communication systems. Approaches that are particularly useful for DSP implementations are presented. While the experiments, particularly the earlier ones, are described for the TMS320C30 Evaluation Module, they can be modified for any PC DSP board with an A/D and D/A converter. Disk included. Annotation c. Book News, Inc., Portland, OR (booknews.com)

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Econometric Modelling of Financial Time Series

Author: Terence C Mills

Terence Mills' best-selling graduate textbook provides detailed coverage of the latest research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. The third edition, co-authored with Raphael Markellos, contains a wealth of new material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.

Table of Contents:

List of figures

List of tables

1 Introduction 1

2 Univariate linear stochastic models: basic concepts 9

3 Univariate linear stochastic models: testing for unit roots and alternative trend specifications 65

4 Univariate linear stochastic models: further topics 111

5 Univariate non-linear stochastic models: martingales, random walks, and modelling volatility 151

6 Univariate non-linear stochastic models: further models and testing procedures 206

7 Modelling return distributions 247

8 Regression techniques for non-integrated financial time series 274

9 Regression techniques for integrated financial time series 329

10 Further topics in the analysis of integrated financial time series 388

Data appendix 411

References 412

Index 446