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 quantita...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New Jersey :
World Scientific,
©2008.
|
| Ausgabe: | 2nd ed. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "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." |
| Beschreibung: | 1 online resource (xxvi, 268 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 256-261) and indexes. |
| ISBN: | 9789812770851 9812770852 |
Internformat
MARC
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| 246 | 3 | |a Modeling financial time series | |
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| 520 | |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." | ||
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| contents | 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. |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/222011 |
| dewey-search | 332.63/222011 |
| dewey-sort | 3332.63 6222011 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 2nd ed. |
| format | Electronic eBook |
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| indexdate | 2024-11-27T13:17:17Z |
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| publisher | World Scientific, |
| record_format | marc |
| spelling | Taylor, Stephen (Stephen J.) http://id.loc.gov/authorities/names/n85369225 Modelling financial time series / Stephen J Taylor. Modeling financial time series 2nd ed. New Jersey : World Scientific, ©2008. 1 online resource (xxvi, 268 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier data file rda Includes bibliographical references (pages 256-261) and indexes. Print version record. 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. "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." Stocks Prices Mathematical models. Commodity exchanges Mathematical models. Financial futures Mathematical models. Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Actions (Titres de société) Prix Modèles mathématiques. Bourses de marchandises Modèles mathématiques. Marchés à terme d'instruments financiers Modèles mathématiques. Série chronologique. BUSINESS & ECONOMICS Investments & Securities Stocks. bisacsh Commodity exchanges Mathematical models fast Financial futures Mathematical models fast Stocks Prices Mathematical models fast Time-series analysis fast Tijdreeksen. gtt Effecten (waardepapieren) (NL-LeOCL)07849382X gtt Futures. gtt Wiskundige modellen. gtt Econometrische modellen. gtt has work: Modelling financial time series (Text) https://id.oclc.org/worldcat/entity/E39PCFpKKQpm8fBcj7yWqfDkTb https://id.oclc.org/worldcat/ontology/hasWork Print version: Taylor, Stephen (Stephen J.). Modelling financial time series. 2nd ed. New Jersey : World Scientific, ©2008 (DLC) 2007043574 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=236048 Volltext |
| spellingShingle | Taylor, Stephen (Stephen J.) Modelling financial time series / 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. Stocks Prices Mathematical models. Commodity exchanges Mathematical models. Financial futures Mathematical models. Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Actions (Titres de société) Prix Modèles mathématiques. Bourses de marchandises Modèles mathématiques. Marchés à terme d'instruments financiers Modèles mathématiques. Série chronologique. BUSINESS & ECONOMICS Investments & Securities Stocks. bisacsh Commodity exchanges Mathematical models fast Financial futures Mathematical models fast Stocks Prices Mathematical models fast Time-series analysis fast Tijdreeksen. gtt Effecten (waardepapieren) (NL-LeOCL)07849382X gtt Futures. gtt Wiskundige modellen. gtt Econometrische modellen. gtt |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85135430 (NL-LeOCL)07849382X |
| title | Modelling financial time series / |
| title_alt | Modeling financial time series |
| title_auth | Modelling financial time series / |
| title_exact_search | Modelling financial time series / |
| title_full | Modelling financial time series / Stephen J Taylor. |
| title_fullStr | Modelling financial time series / Stephen J Taylor. |
| title_full_unstemmed | Modelling financial time series / Stephen J Taylor. |
| title_short | Modelling financial time series / |
| title_sort | modelling financial time series |
| topic | Stocks Prices Mathematical models. Commodity exchanges Mathematical models. Financial futures Mathematical models. Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Actions (Titres de société) Prix Modèles mathématiques. Bourses de marchandises Modèles mathématiques. Marchés à terme d'instruments financiers Modèles mathématiques. Série chronologique. BUSINESS & ECONOMICS Investments & Securities Stocks. bisacsh Commodity exchanges Mathematical models fast Financial futures Mathematical models fast Stocks Prices Mathematical models fast Time-series analysis fast Tijdreeksen. gtt Effecten (waardepapieren) (NL-LeOCL)07849382X gtt Futures. gtt Wiskundige modellen. gtt Econometrische modellen. gtt |
| topic_facet | Stocks Prices Mathematical models. Commodity exchanges Mathematical models. Financial futures Mathematical models. Time-series analysis. Actions (Titres de société) Prix Modèles mathématiques. Bourses de marchandises Modèles mathématiques. Marchés à terme d'instruments financiers Modèles mathématiques. Série chronologique. BUSINESS & ECONOMICS Investments & Securities Stocks. Commodity exchanges Mathematical models Financial futures Mathematical models Stocks Prices Mathematical models Time-series analysis Tijdreeksen. Effecten (waardepapieren) Futures. Wiskundige modellen. Econometrische modellen. |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=236048 |
| work_keys_str_mv | AT taylorstephen modellingfinancialtimeseries AT taylorstephen modelingfinancialtimeseries |