Modelling Financial Time Series

by Stephen Taylor

Anyone interested in financial markets soon discovers that changes in prices are frequently substantial and always difficult to forecast. This book describes this behavior from a statistical perspective, recording prices at regular intervals, thereby determining trends from which to anticipate future prices and potential volatility of markets.Covers variance ratio and chaos tests.
-- Includes new data sets, including stock returns.
-- Volatility chapters emphasize ARCH models.
-- Includes new chapters on forecasting volatility and options valuation.

Paperback

First published January 1, 1998

About the author

Stephen Taylor is Senior Lecturer at Manchester Metropolitan University Business School and the CIPD's examiner for the Managing in a Strategic Business Context paper.