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010   $a9786611911614
010   $a981-277-085-2
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100   $a20071019d2008      uy             0
101 0 $aeng
135   $aurcn|||||||||
181   $ctxt
182   $cc
183   $acr
200 10$aModelling financial time series$b[electronic resource] /$fStephen J Taylor
205   $a2nd ed.
210   $aNew Jersey $cWorld Scientific$dc2008
215   $a1 online resource (297 p.)
300   $aReprint of the edition originally published: Chichester [West Sussex] ; New York :  Wiley,  c1986.
311   $a981-277-084-4 
320   $aIncludes bibliographical references (p. 256-261) and indexes.
327   $a1. 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.
330   $a"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."
606   $aStocks$xPrices$xMathematical models
606   $aCommodity exchanges$xMathematical models
606   $aFinancial futures$xMathematical models
606   $aTime-series analysis
615  0$aStocks$xPrices$xMathematical models.
615  0$aCommodity exchanges$xMathematical models.
615  0$aFinancial futures$xMathematical models.
615  0$aTime-series analysis.
676   $a332.63/222011
700   $aTaylor$b Stephen$g(Stephen J.)$0372606
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910784886503321
996   $aModelling financial time series$9626875
997   $aUNINA