Category: Business, Finance & Law|
The author of the book: Stephen J. Taylor
Format files: PDF, EPUB, TXT, DOCX
The size of the: 33.41 MB
Edition: World Scientific Publishing Co Pte Ltd
Date of issue: 1 April 2008
Description of the book "Modelling Financial Time Series":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 PDF, 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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