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9789812770844

Modelling Financial Times Series

Stephen J. Taylor Author

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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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Stephen J. Taylor Author
Published by World Scientific Publishing Co Pte Ltd, Singapore (2008)
ISBN 10: 9812770844 ISBN 13: 9789812770844
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Book Description World Scientific Publishing Co Pte Ltd, Singapore, 2008. Hardback. Book Condition: New. 2nd Revised edition. 228 x 154 mm. Language: English 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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Stephen J. Taylor Author
Published by World Scientific Publishing Co Pte Ltd, Singapore (2008)
ISBN 10: 9812770844 ISBN 13: 9789812770844
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Book Description World Scientific Publishing Co Pte Ltd, Singapore, 2008. Hardback. Book Condition: New. 2nd Revised edition. 228 x 154 mm. Language: English 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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Stephen J. Taylor Author
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Book Description World Scientific Pub Co Inc 01/05/2015, 2015. Hardback. Book Condition: New. New Book. Shipped from US within 10 to 14 business days. Established seller since 2000. This item is printed on demand. Bookseller Inventory # IJ-9789812770844

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Published by World Scientific Publishing 2008-02-18 (2008)
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Book Description World Scientific Publishing 2008-02-18, 2008. Book Condition: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Bookseller Inventory # NU-GRD-00580539

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Book Description World Scientific Publishing Company, 2007. Book Condition: New. Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: "This book contains several models for the prices of financial assets. 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."--BOOK JACKET. Bookseller Inventory # ABE_book_new_9812770844

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Book Description World Scientific Publishing Company. Hardcover. Book Condition: New. Hardcover. 296 pages. Dimensions: 9.0in. x 6.1in. x 0.9in.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. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Hardcover. Bookseller Inventory # 9789812770844

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Book Description World Scientific Publishing, 2008. Hardcover. Book Condition: New. Brand New Book. Shipping: Once your order has been confirmed and payment received, your order will then be processed. The book will be located by our staff, packaged and despatched to you as quickly as possible. From time to time, items get mislaid en route. If your item fails to arrive, please contact us first. We will endeavour to trace the item for you and where necessary, replace or refund the item. Please do not leave negative feedback without contacting us first. All orders will be dispatched within two working days. If you have any quesions please contact us. Bookseller Inventory # V9789812770844

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Book Description World Scientific Publishing Company. Hardcover. Book Condition: New. 2nd. Bookseller Inventory # DADAX9812770844

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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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Book Description World Scientific Publishing 2008-02-18, 2008. Hardcover. Book Condition: New. Bookseller Inventory # NU-ING-00645240

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