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Cover: 9789812770844 | Modelling Financial Time Series | Stephen J. Taylor | Buch | Englisch
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Modelling Financial Time Series
Buch von Stephen J. Taylor
Sprache: Englisch

108,95 €*

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Lieferzeit 2-3 Wochen

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Beschreibung
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.
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.
Details
Erscheinungsjahr: 2007
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Seiten: 296
ISBN-13: 9789812770844
ISBN-10: 9812770844
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Taylor, Stephen J.
Hersteller: World Scientific Publishing Company
Maße: 235 x 157 x 21 mm
Von/Mit: Stephen J. Taylor
Erscheinungsdatum: 28.12.2007
Gewicht: 0,584 kg
preigu-id: 101955775
Details
Erscheinungsjahr: 2007
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Seiten: 296
ISBN-13: 9789812770844
ISBN-10: 9812770844
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Taylor, Stephen J.
Hersteller: World Scientific Publishing Company
Maße: 235 x 157 x 21 mm
Von/Mit: Stephen J. Taylor
Erscheinungsdatum: 28.12.2007
Gewicht: 0,584 kg
preigu-id: 101955775
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