| Description |
xxvi, 268 pages : illustrations ; 24 cm |
| Contents |
1. Introduction -- 2. Features of Financial Returns -- 3. Modelling Price Volatility -- 4. Forecasting Standard Deviations -- 5. The Accuracy of Autocorrelation Estimates -- 6. Testing the Random Walk Hypothesis -- 7. Forecasting Trends in Prices -- 8. Evidence Against the Efficiency of Futures Markets -- 9. Valuing Options -- 10. Concluding Remarks -- App. A. Computer Program for Modelling Financial Time Series |
| Summary |
"This book contains several models for the prices of financial assets. 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."--BOOK JACKET |
| Notes |
Reprint of the edition originally published: Chichester [West Sussex] ; New York : Wiley, c1986 |
| Bibliography |
Includes bibliographical references (pages 256-261) and indexes |
| Subject |
Commodity exchanges -- Mathematical models.
|
|
Financial futures -- Mathematical models.
|
|
Stocks -- Prices -- Mathematical models.
|
|
Time-series analysis.
|
| LC no. |
2007043574 |
| ISBN |
9789812770844 |
|
9812770844 |
|
