Modelling Financial Time Series
Second Edition
Book Details
Format
Hardback or Cased Book
ISBN-10
9812770844
ISBN-13
9789812770844
Edition
Second Edition
Publisher
World Scientific Publishing Co Pte Ltd
Imprint
World Scientific Publishing Co Pte Ltd
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Jan 2nd, 2008
Print length
296 Pages
Weight
568 grams
Dimensions
23.70 x 16.20 x 2.00 cms
Product Classification:
Investment and securitiesCommodities
Ksh 17,100.00
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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.
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