Modelling Financial Time Series
Seiten
2008
|
Second Edition
World Scientific Publishing Co Pte Ltd (Verlag)
978-981-277-084-4 (ISBN)
World Scientific Publishing Co Pte Ltd (Verlag)
978-981-277-084-4 (ISBN)
Contains innovative models for the prices of financial assets. This volume presents ARCH and stochastic volatility models that are used and cited in academic research and are applied by quantitative analysts in many banks. It also takes into account the progress made by empirical researchers from 1986 to 2006.
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.
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.
| Erscheint lt. Verlag | 2.1.2008 |
|---|---|
| Verlagsort | Singapore |
| Sprache | englisch |
| Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
| ISBN-10 | 981-277-084-4 / 9812770844 |
| ISBN-13 | 978-981-277-084-4 / 9789812770844 |
| Zustand | Neuware |
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