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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Taylor, Stephen (Stephen J.)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New Jersey : World Scientific, ©2008.
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.
BUSINESS & ECONOMICS > Investments & Securities > Stocks.
Tijdreeksen.
Effecten (waardepapieren)
Futures.
Wiskundige modellen.
Econometrische modellen.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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