Modelling Financial Time Series

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9780471909934: Modelling Financial Time Series

The most accurate and detailed time series models ever published, describing the behavior over time of stock, commodity and currency prices. Forty time series are investigated, including prices for stocks in New York and London, agricultural futures in Chicago, London, and Sydney, spot bullion and metal contracts in London and currency futures in Chicago. These prices are used to construct statistical models and to explore the benefits from relevant forecasts. Uses comprehensive and new models for price behavior.

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Taylor, Steven; Taylor, Stephen
Published by Wiley (1986)
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