00000cam a22000004a 4500 UP-99796217608600553 Buklod 20081121110736.0 m |o d | ta 080210s1986 xx r |000 u|eng d 9789812770844 (iLib)UPD-00063896487 DSTC eng DMLUC HG 4636 T38 2008 Taylor, Stephen (Stephen J.) Modelling financial time series Stephen J. Taylor. 2nd ed. Singapore World Scientific Pub. 2008. xxvi, 268 p. Reprint of the edition originally published: Chichester [West Sussex] ; New York : Wiley, c1986. 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. 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. Stocks Prices Mathematical models. Commodity exchanges Mathematical models. Financial futures Mathematical models. Time-series analysis. FO Monograph UPD DBUS HG 4636 T38 2008 UPD DECON HG 4636 T38 2008 UPD DSTC HG 4636 T38 2008 Book