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Modelling Financial Time Series

By (author) Stephen Taylor
Format: Paperback
Publisher: John Wiley and Sons Ltd, Chichester, United Kingdom
Imprint: John Wiley & Sons Ltd
Published: 18th Jun 1986
Dimensions: w 150mm h 230mm d 20mm
Weight: 470g
ISBN-10: 0471909939
ISBN-13: 9780471909934
Barcode No: 9780471909934
Anyone interested in financial markets soon discovers that changes in prices are frequently substantial and are always difficult to forecast. Taylor describes the behaviour from a statistical perspective, recording prices at regular intervals of time, thereby determining trends from which to anticipate future prices and the potential volatility of markets. The first major statistical text in fifteen years to focus on financial time series, Modelling Financial Time Series investigates forty series, covering stock, commodity and currency markets trading on spot and futures contracts in New York, Chicago, London and Sydney. The author's approach has made for a detailed, accurate and up-to-date study to help researchers to use and develop better models to work from, and should also prove useful to statisticians and students.

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