Modelling Financial Time Series, 1986

 

Now out of print

 

Second edition published in January 2008, containing a new Preface followed by the same text as in the first edition

·         Author : Stephen J Taylor

·         Publisher : John Wiley and Sons Ltd, Chichester

·         ISBN : 0-471-90993-9

·         Price : Now out of print

·         Length : 268 pages

·         MFTS has been cited by many people

Chapter headings

·         1. Introduction

·         2. Features of financial returns

·         3. Modelling price volatility

·         4. Forecasting standard deviations

·         5. The accuracy of autocorrelation estimates

·         6. Testing the random walk hypothesis

·         7. Forecasting trends in prices

·         8. Evidence against the efficiency of futures markets

·         9. Valuing options

·         10. Concluding remarks

·         Appendix : a computer program for modelling financial time series

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Last updated in 2008