Modelling financial time series [[electronic resource] /] / Stephen J Taylor
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| Autore: |
Taylor Stephen (Stephen J.)
|
| Titolo: |
Modelling financial time series [[electronic resource] /] / Stephen J Taylor
|
| Pubblicazione: | New Jersey, : World Scientific, c2008 |
| Edizione: | 2nd ed. |
| Descrizione fisica: | 1 online resource (297 p.) |
| Disciplina: | 332.63/222011 |
| Soggetto topico: | Stocks - Prices - Mathematical models |
| Commodity exchanges - Mathematical models | |
| Financial futures - Mathematical models | |
| Time-series analysis | |
| Note generali: | Reprint of the edition originally published: Chichester [West Sussex] ; New York : Wiley, c1986. |
| Nota di bibliografia: | Includes bibliographical references (p. 256-261) and indexes. |
| Nota di contenuto: | 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. |
| Sommario/riassunto: | "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." |
| Titolo autorizzato: | Modelling financial time series |
| ISBN: | 1-281-91161-5 |
| 9786611911614 | |
| 981-277-085-2 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910784886503321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |