Modelling financial time series 2nd ed.

Author

• Taylor, Stephen

Additional Author(s)

-

Publisher

Singapore: World Scientific Publishing Co. Pte. Ltd., 2008

Language

English

ISBN

9789812770851

Series

Subject(s)

• COMMODITY EXCHANGES-MATHEMATICAL MODELS
• FINANCIAL FUTURES-MATHEMATICAL MODELS
• STOCKS-PRICES-MATHEMATICAL MODELS
• TIME-SERIES ANALYSIS

Notes

• Includes bibliographical references (p. 256-261) and index

. .

Abstract

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.

Physical Dimension

Number of Page(s)

1 online resource (xxvi, 268 p.)

Dimension

-

Other Desc.

ill.

Summary / Review / Table of Content

1. Introduction --
2. Features of financial returns --
3. Modelling price volatility --
4. Forecasting standard deviations --
5. The accuracy of autocorrelation estimates --
6. Testing the random walk hypothesis --
7. Forecasting trends in prices --
8. Evidence against the efficiency of future markets --
9. Valuing options --
10. Concluding remarks.

Exemplar(s)

#	Accession No.	Call Number	Location	Status
1.	00309/19	332.63222011 Tay M	Online !	Available