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Modelling Financial Time Series. 2nd ed. S.J.テイラー著『金融先物・オプションの価格変動分析 －ボラティリティの予測モデル』第2版
・ISBN 978-981-277-084-4 2008 hard US$ 107.00
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-981-277-085-1
| 著者・編者 | Taylor, Stephen J., |
|---|---|
| 出版社 | (World Scientific, SI) |
| ページ数 | 268 pp. |
| 言語 | ENG |
| ニュース番号 | ＜548-304＞ |
解説
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.