Modelling Financial Time Series (Second Edition)

Stephen J. Taylor, MODELLING FINANCIAL TIME SERIES (SECOND EDITION), World Scientific Publishing, 2007

Posted: 25 Sep 2009

See all articles by Stephen J. Taylor

Stephen J. Taylor

Lancaster University - Department of Accounting and Finance

Date Written: December 28, 2007

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.

Keywords: ARCH Models, Exchange Rates, Forecasting, Stock Markets, Time Series, Volatility

Suggested Citation

Taylor, Stephen J., Modelling Financial Time Series (Second Edition) (December 28, 2007). Stephen J. Taylor, MODELLING FINANCIAL TIME SERIES (SECOND EDITION), World Scientific Publishing, 2007. Available at SSRN: https://ssrn.com/abstract=1478375

Stephen J. Taylor (Contact Author)

Lancaster University - Department of Accounting and Finance ( email )

The Management School
Lancaster LA1 4YX
United Kingdom
+ 44 15 24 59 36 24 (Phone)
+ 44 15 24 84 73 21 (Fax)

HOME PAGE: http://www.lancs.ac.uk/staff/afasjt

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