Modelling Financial Time Series (English, Taylor Stephen J)
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Book Details
Publisher
World Scientific Publishing Company
Language
English
ISBN-13
9789812770844
ISBN-10
9812770844
Author
Taylor Stephen J
About the Book
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,…
ISBN: 9789812770844
ISBN-13: 9789812770844
ISBN-10: 9812770844
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Product ID: isbn-9789812770844
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