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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 quantita...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New Jersey :
World Scientific,
©2008.
|
| Edición: | 2nd ed. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Taylor, Stephen |q (Stephen J.) | |
| 245 | 1 | 0 | |a Modelling financial time series / |c Stephen J Taylor. |
| 246 | 3 | |a Modeling financial time series | |
| 250 | |a 2nd ed. | ||
| 260 | |a New Jersey : |b World Scientific, |c ©2008. | ||
| 300 | |a 1 online resource (xxvi, 268 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 504 | |a Includes bibliographical references (pages 256-261) and indexes. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a 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. | |
| 520 | |a "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." | ||
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| 650 | 0 | |a Commodity exchanges |x Mathematical models. | |
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| 650 | 0 | |a Time-series analysis. | |
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| 776 | 0 | 8 | |i Print version: |a Taylor, Stephen (Stephen J.). |t Modelling financial time series. |b 2nd ed. |d New Jersey : World Scientific, ©2008 |w (DLC) 2007043574 |
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