## 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
by many people

#### 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