9789812770844

Modelling Financial Times Series

Stephen J. Taylor

ISBN 10: 9812770844
ISBN 13: 9789812770844
Publisher: World Scientific Publishing Company
Publication Date: 2007
Binding: Hardcover
Editorial Reviews for this title:
Synopsis:
This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts.

This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends.

Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series.


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Modelling Financial Time Series (ISBN: 9789812770844)
Stephen J. Taylor
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Stephen J. Taylor
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Book Description: World Scientific Publishing Co Pte Ltd, Singapore, 2008. Hardback. Book Condition: New. 2nd Revised edition. 230 x 163 mm. Brand New Book. This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Bookseller Inventory # AAZ9789812770844

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Modelling Financial Time Series (Hardback) (ISBN: 9789812770844)
Stephen J. Taylor
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ISBN 13: 9789812770844
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Book Description: World Scientific Publishing Co Pte Ltd, Singapore, 2008. Hardback. Book Condition: New. 2nd Revised edition. 230 x 163 mm. Brand New Book. This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Bookseller Inventory # AAZ9789812770844

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Modelling Financial Time Series (Hardcover) (ISBN: 9812770844)
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Book Description: 2008. Hardcover. Book Condition: New. 2nd. 163mm x 21mm x 230mm. Hardcover. This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and s.Shipping may be from multiple locations in the US or from the UK, depending on stock availability. 268 pages. 0.553. Bookseller Inventory # 9789812770844

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