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Modelling financial time series / / Stephen J Taylor



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Autore: Taylor Stephen (Stephen J.) Visualizza persona
Titolo: Modelling financial time series / / Stephen J Taylor Visualizza cluster
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  Visualizza cluster
ISBN: 1-281-91161-5
9786611911614
981-277-085-2
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910819551603321
Lo trovi qui: Univ. Federico II
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