Modelling Financial Time Series, 1986
Now out of print
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Author : Stephen J Taylor
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ISBN : 0-471-90993-9
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Price : Now out of print
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Length : 268 pages
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MFTS has been cited
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Chapter headings
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1. Introduction
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2. Features of financial returns
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3. Modelling price volatility
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4. Forecasting standard deviations
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5. The accuracy of autocorrelation estimates
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6. Testing the random walk hypothesis
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7. Forecasting trends in prices
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8. Evidence against the efficiency of futures markets
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9. Valuing options
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10. Concluding remarks
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Appendix : a computer program for modelling financial time series
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Last updated in 2008