Modelling financial time series

Stephen J. Taylor

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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[目次]

  • 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
  • Appendix: A Computer Program for Modelling Financial Time Series.

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この本の情報

書名 Modelling financial time series
著作者等 Taylor, Stephen
Taylor Stephen J.
出版元 World Scientific
刊行年月 c2008
版表示 2nd ed
ページ数 xxvi, 268 p.
大きさ 24 cm
ISBN 9789812770844
NCID BA85806945
※クリックでCiNii Booksを表示
言語 英語
出版国 シンガポール
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