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Modelling Financial Time Series

by Stephen Taylor

2021-01-09 01:01:59

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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 a... Read more
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. Less

Book Details

File size9.41 X 7.24 X 0.98 in
Publication date December 28, 2007
LanguageEnglish
ISBN9789812770844
autor-image
Stephen Taylor
Author
Stephen Taylor, Chartered CCIPD, is a Senior Lecturer in Human Resource Management at the University of Exeter Business School, UK and also a Chief Examiner for the CIPD. He previously taught at Man...

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Indigo Books & Music In Stock Hard Cover Hard Cover Buy CAD 164.50
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