PERHAPS A GIFT VOUCHER FOR MUM?: MOTHER'S DAY

Close Notification

Your cart does not contain any items

Modelling Financial Time Series

Stephen J Taylor (Lancaster Univ, Uk)

$192.99

Hardback

Not in-store but you can order this
How long will it take?

QTY:

English
World Scientific Publishing Co Pte Ltd
02 January 2008
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.

Edited by:  
Imprint:   World Scientific Publishing Co Pte Ltd
Country of Publication:   Singapore
Edition:   Second Edition
Dimensions:   Height: 230mm,  Width: 163mm,  Spine: 21mm
Weight:   553g
ISBN:   9789812770844
ISBN 10:   9812770844
Pages:   296
Publication Date:  
Audience:   College/higher education ,  Further / Higher Education
Format:   Hardback
Publisher's Status:   Active

See Also