Modelling Financial Time Series

Name: Modelling Financial Time Series
Brand: World Scientific Publishing Co Pte Ltd
SKU: 9789812770844
Price: 17100 KES
Availability: OutOfStock
ISBN: 9789812770844

Second Edition

Book Details

Format Hardback

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 securities Commodities

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.

Get Modelling Financial Time Series by Stephen J Taylor at the best price and quality guaranteed only at Werezi Africa's largest book ecommerce store. The book was published by World Scientific Publishing Co Pte Ltd and it has 296 pages.