Modelling Financial Time Series: 2nd Ed
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Book Overview This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the are...
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.
Book Details Format: Hardcover | Pages: 268 | Language: English | Publisher: WORLD SCIENTIFIC PUB CO INC | ISBN: 9812770844
FormatHardcover
Pages268
LanguageEnglish
ISBN9812770844
EAN9789812770844
PublisherWORLD SCIENTIFIC PUB CO INC
Publication Date1970-01-01
Edition2
AccessoriesNo Accessory
ConditionNew
Product TypeHARD COVER BOOKS
Weight1.22 Pounds
Length9.07 Inches
Width6.42 Inches
Height0.83 Inches
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