Modelling Financial Times Series
暫譯: 金融時間序列建模

Stephen J. Taylor

  • 出版商: World Scientific Pub
  • 出版日期: 2008-04-01
  • 售價: $4,350
  • 貴賓價: 9.5$4,133
  • 語言: 英文
  • 頁數: 268
  • 裝訂: Hardcover
  • ISBN: 9812770844
  • ISBN-13: 9789812770844
  • 海外代購書籍(需單獨結帳)

商品描述

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.

Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series.

商品描述(中文翻譯)

本書包含幾個創新的金融資產價格模型。首次出版於1986年,是金融計量經濟學領域的經典著作。它介紹了ARCH(自回歸條件異方差)和隨機波動性模型,這些模型在學術研究中經常被使用和引用,並且被許多銀行的量化分析師應用。第一版的另一個常被引用的貢獻是對金融回報的統計特徵的記錄,這些特徵被稱為風格化事實。

本書第二版考慮了1986年至2006年間實證研究者所取得的顯著進展。在新的前言中,作者總結了這些進展的兩個關鍵領域:首先是測量、建模和預測波動性;其次是檢測和利用價格趨勢。

內容包括:金融回報的特徵;價格波動性的建模;標準差的預測;自相關估計的準確性;隨機漫步假設的檢驗;價格趨勢的預測;對期貨市場效率的證據;期權定價;附錄:金融時間序列建模的計算機程式。