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Книга Modelling Financial Time Series Stephen J Taylor

Modelling Financial Time Series

Автор: Stephen J Taylor
Език: Английски език
Корици: С твърди корици
Издател: World Scientific Publishing Co Pte Ltd
Наличност: Външен склад
Изпращаме след 14-21 дни
108.97 € 213.12 лв
This book contains several innovative models for the prices of financial assets. First published in...

Информация за книгата

Автор
Stephen J Taylor
Език
Английски език
Корици
Книга - С твърди корици
Издадена
2008
страници
296
EAN
9789812770844
ISBN
9812770844
Enbook ID
04343320
Издател
World Scientific Publishing Co Pte Ltd
Теглоt
568
Размери
162 x 237 x 20

Пълно описание

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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