03216nam 2200649 a 450 991078488650332120230721030647.01-281-91161-59786611911614981-277-085-2(CKB)1000000000401877(OCoLC)646768819(CaPaEBR)ebrary10255844(SSID)ssj0000204059(PQKBManifestationID)11172497(PQKBTitleCode)TC0000204059(PQKBWorkID)10176734(PQKB)10149022(MiAaPQ)EBC1681640(WSP)00006578(Au-PeEL)EBL1681640(CaPaEBR)ebr10255844(CaONFJC)MIL191161(OCoLC)879025529(EXLCZ)99100000000040187720071019d2008 uy 0engurcn|||||||||txtccrModelling financial time series[electronic resource] /Stephen J Taylor2nd ed.New Jersey World Scientificc20081 online resource (297 p.)Reprint of the edition originally published: Chichester [West Sussex] ; New York : Wiley, c1986.981-277-084-4 Includes bibliographical references (p. 256-261) and indexes.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."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."StocksPricesMathematical modelsCommodity exchangesMathematical modelsFinancial futuresMathematical modelsTime-series analysisStocksPricesMathematical models.Commodity exchangesMathematical models.Financial futuresMathematical models.Time-series analysis.332.63/222011Taylor Stephen(Stephen J.)372606MiAaPQMiAaPQMiAaPQBOOK9910784886503321Modelling financial time series626875UNINA