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Modelling Financial Time Series (Second Edition)

Research output: Book/Report/ProceedingsBook

Published

Standard

Modelling Financial Time Series (Second Edition). / Taylor, S J.

2nd ed. Singapore : World Scientific Publishing, 2008. 296 p.

Research output: Book/Report/ProceedingsBook

Harvard

Taylor, SJ 2008, Modelling Financial Time Series (Second Edition). 2nd edn, World Scientific Publishing, Singapore.

APA

Taylor, S. J. (2008). Modelling Financial Time Series (Second Edition). (2nd ed.) Singapore: World Scientific Publishing.

Vancouver

Taylor SJ. Modelling Financial Time Series (Second Edition). 2nd ed. Singapore: World Scientific Publishing, 2008. 296 p.

Author

Taylor, S J. / Modelling Financial Time Series (Second Edition). 2nd ed. Singapore : World Scientific Publishing, 2008. 296 p.

Bibtex

@book{242da21e967e4033afb882d4acc57c2b,
title = "Modelling Financial Time Series (Second Edition)",
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. 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.",
author = "Taylor, {S J}",
year = "2008",
language = "English",
isbn = "9812770844",
publisher = "World Scientific Publishing",
edition = "2nd",

}

RIS

TY - BOOK

T1 - Modelling Financial Time Series (Second Edition)

AU - Taylor, S J

PY - 2008

Y1 - 2008

N2 - 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.

AB - 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.

M3 - Book

SN - 9812770844

BT - Modelling Financial Time Series (Second Edition)

PB - World Scientific Publishing

CY - Singapore

ER -