Modelling Financial Time Series (2nd Edition) / Edition 2

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Overview

The most accurate and detailed time series models ever published, describing the behavior over time of stock, commodity and currency prices. Forty time series are investigated, including prices for stocks in New York and London, agricultural futures in Chicago, London, and Sydney, spot bullion and metal contracts in London and currency futures in Chicago. These prices are used to construct statistical models and to explore the benefits from relevant forecasts. Uses comprehensive and new models for price behavior.
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Product Details

  • ISBN-13: 9789812770844
  • Publisher: World Scientific Publishing Company, Incorporated
  • Publication date: 4/28/2008
  • Edition description: New Edition
  • Edition number: 2
  • Pages: 296
  • Sales rank: 1,302,508
  • Product dimensions: 6.10 (w) x 9.10 (h) x 0.90 (d)

Table of 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
Concluding Remarks
Appendix
Indexes
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