Modelling financial time series / Stephen J Taylor.

Format:

Book

Author/Creator:

Taylor, Stephen (Stephen J.)

Language:

English

Subjects (All):

Stocks--Prices--Mathematical models.

Stocks.

Commodity exchanges--Mathematical models.

Commodity exchanges.

Financial futures--Mathematical models.

Financial futures.

Time-series analysis.

Physical Description:

1 online resource (297 p.)

Edition:

2nd ed.

Place of Publication:

New Jersey : World Scientific, c2008.

Language Note:

English

Summary:

"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:

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.

Notes:

Reprint of the edition originally published: Chichester [West Sussex] ; New York : Wiley, c1986.

Includes bibliographical references (p. 256-261) and indexes.

ISBN:

9786611911614

9781281911612

1281911615

9789812770851

9812770852

OCLC:

646768819