Modelling Financial Time Series
Building on a classical text in financial econometrics, this edition includes new material on measuring, modeling and forecasting volatility and detecting and exploiting price trends and contains several innovative models for the prices of financial assets. Taylor (Lancaster U.) begins by preparing readers to use stochastic processes, including linear stochastic process, and continues by describing features of financial returns, including their construction of financial time series and standard deviations. He describes the process of modeling price volatility (including material on results for ARCH processes), forecasting standard deviations, discerning the accuracy of autocorrelation estimates, testing the "random walk" hypothesis, forecasting trends in prices, understanding evidence against the efficiency of futures markets, and valuing options. He includes a computer program for modeling financial time series. Annotation ©2008 Book News, Inc., Portland, OR (booknews.com)
Available editions
Save this book
Save
OpenCourser helps millions of learners each year. People visit us to learn workspace skills, ace their exams, and nurture their curiosity.
Our extensive catalog contains over 50,000 courses and twice as many books. Browse by search, by topic, or even by career interests. We'll match you to the right resources quickly.
Find this site helpful? Tell a friend about us.
We're supported by our community of learners. When you purchase or subscribe to courses and programs or purchase books, we may earn a commission from our partners.
Your purchases help us maintain our catalog and keep our servers humming without ads.
Thank you for supporting OpenCourser.
