TY - BOOK ID - 25488610 TI - Modelling financial time series PY - 2008 SN - 9789812770844 9812770844 9786611911614 1281911615 9812770852 9789812770851 9781281911612 PB - New Jersey : World Scientific, DB - UniCat KW - Investment management KW - Stocks KW - Commodity exchanges KW - Financial futures KW - Time-series analysis. KW - Analysis of time series KW - Autocorrelation (Statistics) KW - Harmonic analysis KW - Mathematical statistics KW - Probabilities KW - Futures, Financial KW - Futures KW - Hedging (Finance) KW - Commodities exchange KW - Commodity markets KW - Exchanges, Commodity KW - Exchanges, Produce KW - Produce exchanges KW - Futures market KW - Commercial products KW - Produce trade KW - Speculation KW - Prices KW - Mathematical models. KW - Time-series analysis KW - Mathematical models KW - 304.0 KW - 305.91 KW - AA / International- internationaal KW - Common shares KW - Common stocks KW - Equities KW - Equity capital KW - Equity financing KW - Shares of stock KW - Stock issues KW - Stock offerings KW - Stock trading KW - Trading, Stock KW - Securities KW - Bonds KW - Corporations KW - Going public (Securities) KW - Stock repurchasing KW - Stockholders KW - Prices&delete& KW - Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen KW - Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles KW - Stocks - Prices - Mathematical models KW - Commodity exchanges - Mathematical models KW - Financial futures - Mathematical models UR - https://www.unicat.be/uniCat?func=search&query=sysid:25488610 AB - "This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends." ER -