Modelling Financial Times Series
Huge Savings Item! Free Shipping Included! Save 20% on the Modelling Financial Times Series by Stephen J Taylor at HYIP Offer. MPN: black & white illustrations, black & whi. Hurry! Limited time offer. Offer valid only while supplies last. 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
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.
Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series.
|Manufacturer:||World Scientific Publishing Company|
|Brand:||Stephen J Taylor|
|Part Number:||black & white illustrations, black & whi|
|Publisher:||World Scientific Publishing Company|
|Studio:||World Scientific Publishing Company|
|MPN:||black & white illustrations, black & whi|
|Item Weight:||1.22 pounds|
|Item Size:||0.8 x 8.95 x 8.95 inches|
|Package Weight:||1.19 pounds|
|Package Size:||6.06 x 0.87 x 0.87 inches|
Have questions about this item, or would like to inquire about a custom or bulk order?
If you have any questions about this product by Stephen J Taylor, contact us by completing and submitting the form below. If you are looking for a specif part number, please include it with your message.
Related Best Sellers
ean: 9780471151968, isbn: 0471151963,
Makes one of the most popular tools of market analysis available to a wider audience of traders and technical analysts Pioneered by John Ehlers in the late 1970s, the MESA method of price pattern analysis uses powerful wave theory analysis techniques...
ean: 9780471268475, isbn: 047126847X,
Get the bestselling guide to trading systems, now updated for the 21st century. For more than two decades, futures traders have turned to the classic Trading Systems and Methods for complete information about the latest, most successful indicators, ...
By Brand: Pennwell Pub
mpn: illustrations, ean: 9780878148363, isbn: 0878148361,
In today’s changing political and economic environment, it is increasingly important that companies learn to properly use the various trading instruments to protect themselves against price volatility. Since the first successful energy futures cont...
By World Scientific Pub Co Inc
mpn: 9789813149403, ean: 9789813149403, isbn: 981314940X,
The field of real options is concerned with the management and financial valuation of operational flexibility in business endeavors. From the very outset, energy and commodity markets -- which play fundamental roles in the worldwide economy -- have p...
By Palgrave Macmillan
ean: 9781137377340, isbn: 1137377348,
Following the liberalization of global energy markets, the world has witnessed a substantial growth in energy commodity trading. Moreover, prices and volatilities have significantly increased, partly due to geopolitical crises, but mostly resulting f...
By Jawwad Farid
ean: 9781137371638, isbn: 1137371633,
This book provides a much needed 'middle ground' for risk practitioners who need an in-depth understanding of risk management without excessive formulae or theory. Written to appeal to a broad but financially-minded audience, it provides coverage o...
By Radetzki Marian
ean: 9781107129801, isbn: 110712980X,
The 2010s have been a dramatic period for most primary commodity markets. Producers suffered heavily as prices fell in response to new supply facilities going into production, juxtaposed against disappointing demand evolution from China in particular...
By Tomek William G
ean: 9780801452307, isbn: 0801452309,
Published continuously since 1972, Agricultural Product Prices has become the standard textbook and reference work for students in agricultural and applied economics, buyers and sellers of commodities, and policymakers, clearly explaining conceptual ...
ean: 9780470821671, isbn: 0470821671,
Structured Products Volume 2 consists of 5 Parts and 21 Chapters covering equity derivatives (including equity swaps/options, convertible securities and equity linked notes) , commodity derivatives (including energy, metal and agricultural derivative...
ean: 9780071365024, isbn: 0071365028,
This clear, concise, and practical guide explains how to use agricultural options as a safe, effective component of any trading portfolio. Outlining different strategiesbased on whether traders are seeking to reduce risk, increase income, or cont...