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