MODELLING FINANCIAL TIME SERIES (SECOND EDITION)

Building on a classical text in financial econometrics, this edition includes new material on measuring, modeling and forecasting volatility and detecting and exploiting price trends and contains several innovative models for the prices of financial assets. Taylor (Lancaster U.) begins by preparing readers to use stochastic processes, including linear stochastic process, and continues by describing features of financial returns, including their construction of financial time series and standard deviations. He describes the process of modeling price volatility (including material on results for ARCH processes), forecasting standard deviations, discerning the accuracy of autocorrelation estimates, testing the "random walk" hypothesis, forecasting trends in prices, understanding evidence against the efficiency of futures markets, and valuing options. He includes a computer program for modeling financial time series. Annotation ©2008 Book News, Inc., Portland, OR (booknews.com) Read more