Modelling Financial Time Series

Stephen J Taylor
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Stephen J Taylor: Lancaster University, UK

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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.

Keywords: ARCH Models; Exchange Rates; Forecasting; Stock Markets; Time Series; Volatility (search for similar items in EconPapers)
Date: 2007
ISBN: 9789812770844
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Citations: View citations in EconPapers (15)

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Chapters in this book:

Ch 1 Introduction , pp 1-25

Stephen J. Taylor

Ch 2 Features of Financial Returns , pp 26-61

Stephen J. Taylor

Ch 3 Modelling Price Volatility , pp 62-96

Stephen J. Taylor

Ch 4 Forecasting Standard Deviations , pp 97-115

Stephen J. Taylor

Ch 5 The Accuracy of Autocorrelation Estimates , pp 116-132

Stephen J. Taylor

Ch 6 Testing the Random Walk Hypothesis , pp 133-173

Stephen J. Taylor

Ch 7 Forecasting Trends in Prices , pp 174-195

Stephen J. Taylor

Ch 8 Evidence Against the Efficiency of Futures Markets , pp 196-224

Stephen J. Taylor

Ch 9 Valuing Options , pp 225-237

Stephen J. Taylor

Ch 10 Concluding Remarks , pp 238-242

Stephen J. Taylor

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