Modelling Financial Time Series
Author:   Stephen J Taylor (Lancaster Univ, Uk)
Publisher:   World Scientific Publishing Co Pte Ltd
Edition:   Second Edition
ISBN:  

9789812770844


Pages:   296
Publication Date:   02 January 2008
Format:   Hardback
Availability:   In Print   Availability explained
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Modelling Financial Time Series


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Overview

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.

Full Product Details

Author:   Stephen J Taylor (Lancaster Univ, Uk)
Publisher:   World Scientific Publishing Co Pte Ltd
Imprint:   World Scientific Publishing Co Pte Ltd
Edition:   Second Edition
Dimensions:   Width: 16.30cm , Height: 2.10cm , Length: 23.00cm
Weight:   0.553kg
ISBN:  

9789812770844


ISBN 10:   9812770844
Pages:   296
Publication Date:   02 January 2008
Audience:   College/higher education ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of 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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