| Modelling Financial Times Series |  | Author: Stephen J. Taylor
Publisher: World Scientific Publishing Company
Category: Book
List Price: $118.00
Buy New: $80.13
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Seller: Amazon.com
Sales Rank: 871,662
Languages: English (Unknown), English (Original Language), English (Published)
Media: Hardcover
Edition: 2nd
Pages: 296
Number Of Items: 1
Shipping Weight (lbs): 1.2
Dimensions (in): 9.1 x 6.4 x 0.8
ISBN: 9812770844
EAN: 9789812770844
ASIN: 9812770844
Publication Date: December 28, 2007
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Product Description
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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