Modelling Financial Time Series.

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 a...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Taylor, Stephen J.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Singapore : World Scientific Publishing Company, 2007.
Edición:2nd ed.
Temas:
Stocks > Prices > Mathematical models.
Commodity exchanges > Mathematical models.
Financial futures > Mathematical models.
Time-series analysis.
Actions (Titres de société) > Prix > Modèles mathématiques.
Bourses de marchandises > Modèles mathématiques.
Marchés à terme d'instruments financiers > Modèles mathématiques.
Série chronologique.
Commodity exchanges > Mathematical models
Financial futures > Mathematical models
Stocks > Prices > Mathematical models
Time-series analysis
Acceso en línea:Texto completo
Descripción
Sumario: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.
Descripción Física:1 online resource (296 pages)
Bibliografía:Includes bibliographical references (pages 256-261) and indexes.
ISBN:9789812770851
9812770852

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