Modelling Financial Time Series (Second Edition) / Edition 2

by Stephen J Taylor

Overview

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.

Product Details

ISBN-13:	9789812770844
Publisher:	World Scientific Publishing Company, Incorporated
Publication date:	01/02/2008
Edition description:	New Edition
Pages:	296
Product dimensions:	6.10(w) x 9.10(h) x 0.90(d)

Table of Contents

Features of Financial Returns
Modelling Price Volatility
Forecasting Standard Deviations
The Accuracy of Autocorrelation Estimates
Testing the Random Walk Hypothesis
Forecasting Trends in Prices
Evidence Against the Efficiency of Futures Markets
Valuing Options
Concluding Remarks
Appendix
Indexes