Modelling Financial Times Series

Modelling Financial Times Series
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Modelling Financial Times Series Description

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This book contains a number of innovative models for monetary asset prices. Initial published in 1986, is a classic text in the field of monetary econometrics. It presents the ARCH and stochastic volatility models that are regularly utilised and cited in academic study and application of quantitative analysts at numerous banks. Another regularly cited contributions of the 1st edition is the documentation of the statistical properties of financial returns, which are known as stylized facts. This second edition takes into account the remarkable progress of empirical analysis over the past two decades, from 1986 to 2006. In the new preface, the author summarizes this progress in two critical areas: first, measuring, modeling and forecasting volatility, and, secondly, the detection and exploitation of cost movements . Content: Functions of financial profitability, the modeling of price fluctuations, differences manager forecasts standard precision Autocorrelation Estimates: Testing the random walk hypothesis Modelling Financial Times Series

\n\nModelling Monetary Times Series Ebook

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