The Econometric Modelling of Financial Time Series

Book Description

Fully revised and updated, the second edition of the best-selling The Econometric Modelling of Financial Time Series provides comprehensive coverage of the variety of models currently used in the empirical analysis of financial markets. Covering bond, equity and financial markets, it is essential for scholars and practitioners wishing to acquire an understanding of the latest research techniques and findings in the field, and also graduate students wishing to research in financial markets. It provides many examples to illustrate techniques that are only just emerging in the technical literature.

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Customer Reviews:

Poorly Written and Unclear.......2001-01-10

Obviously patched together from topics written over a period of time, this book is not cohesive nor understandable. Mills doesn't spend any words developing his topics nor explaning the development. Spend your resources on Hamilton's classic and great definative bible, Time Series Analysis instead.

it's a terrific book for non-linear time series analysis.......2000-04-06

This is a very compact, practical book. It edits in a very readable way. What I like it most is that it contributes to non-linear time series analysis a lot, whereas not too many other time series related books do. The real data in the appendix can be downloaded and played around by the readers. You will really have a great time to read it.

Nonlinear Modelling of High Frequency Financial Time Series (Financial Economics and Quantitative Analysis Series)

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Nonlinear Modelling of High Frequency Financial Time Series (Financial Economics and Quantitative Analysis Series)

Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

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ASIN: 0471974641

Book Description

Nonlinear Modelling of High Frequency Financial Time Series Edited by Christian Dunis and Bin Zhou In the competitive and risky environment of today's financial markets, daily prices and models based upon low frequency price series data do not provide the level of accuracy required by traders and a growing number of risk managers. To improve results, more and more researchers and practitioners are turning to high frequency data. Nonlinear Modelling of High Frequency Financial Time Series presents the latest developments and views of leading international researchers and market practitioners, in modelling high frequency data in finance. Combining both nonlinear modelling and intraday data for financial markets, the editors provide a fascinating foray into this extremely popular discipline. This book evolves around four major themes. The first introductory section focuses on high frequency financial data. The second part examines the exact nature of the time series considered: several linearity tests are presented and applied and their modelling implications assessed. The third and fourth parts are dedicated to modelling and forecasting these financial time series.

Mastering Financial Modelling in Microsoft Excel: A practitioner's guide to applied corporate finance (2nd Edition) (Financial Times Series)

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Mastering Financial Modelling in Microsoft Excel: A practitioner's guide to applied corporate finance (2nd Edition) (Financial Times Series)
Alastair Day
Manufacturer: FT Press
ProductGroup: Book
Binding: Paperback

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ASIN: 0273708066

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Modelling Financial Time series
Rigorous but practical survey of time-series for traders.

Modelling Financial Time Series
Stephen Taylor
Manufacturer: John Wiley & Sons Ltd (Import)
ProductGroup: Book
Binding: Paperback

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Stocks | Investing | Business & Investing | Subjects | Books
ASIN: 0471909939

Book Description

The most accurate and detailed time series models ever published, describing the behavior over time of stock, commodity and currency prices. Forty time series are investigated, including prices for stocks in New York and London, agricultural futures in Chicago, London, and Sydney, spot bullion and metal contracts in London and currency futures in Chicago. These prices are used to construct statistical models and to explore the benefits from relevant forecasts. Uses comprehensive and new models for price behavior.

Customer Reviews:

Modelling Financial Time series.......2003-10-26

This is (still) an excellent book, ahead of its time when published in 1986. One of the issues he dealt with was the possible modifications to option pricing models (black-scholes type) that could be made to account for trending markets. This was before the crash of '87 and the subsequent wide-spread adoption of skewed volatility smiles and risk-reversals into option pricing.

This book is probably out of print permanently, but the author is working on a new book, the provisional title of which is "Asset Price Dynamics and Prediction" Target Date of March 2004. The chapters are loosely based on subjects covered in Modelling Financial Time series.

Chapter headings for Modelling Financial Time series:

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

Rigorous but practical survey of time-series for traders........1996-07-25

The first edition was published in 1986. It is EXCELLENT. Taylor rigorously studies the use of nonlinear time-series (Box-Jenkins) methods to trade a variety of financial markets, including individual stocks, stock indices, currencies, metals, and agricultural commodities, finding that there is a small trend component in most markets that can be profitably traded. Taylor performed testing of time series back in the early 1980s, when computer power and financial data was much scarcer and more expensive. I am excited to see what he has come up with, now that computers and data are a zillion times cheaper.

Nonlinear Modelling of High Frequency Financial Time Series

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Nonlinear Modelling of High Frequency Financial Time Series
CHRISTIAN ZHOU, BIN DUNIS
Manufacturer: JOHN WILEY AND SONS LTD
ProductGroup: Book
Binding: Paperback
ASIN: B000N5HKNM

Book Description

Macroeconomic Policy is an applications oriented text designed for individuals who desire a hands-on approach to analyzing the effects of fiscal and monetary policies. The book demystifies the linkages between monetary and fiscal policies and key macroeconomic variables such as income, unemployment, inflation and interest rates. MBA and Executive MBA students who appreciate the importance of monetary and fiscal analysis will find this text to be right on target. Financial analysts and individual investors who need to strip away economic myths and jargon and systematically examine and understand the effects of macro policies will also find the book extremely useful.
A unique feature of this book is the extensive use of specially written "newspaper" articles designed to simulate current macroeconomic news. Topics such as unemployment, soft landings, overheated economies, asset-price bubbles, liquidity traps, hyperinflations, and exchange rate meltdowns are incorporated in these articles. Each chapter contains exercises that enable the reader to relate specific underlined passages in these articles to the theory presented in preceding chapters. This distinctive approach ensures real-world applicability, and supporting diagrams further enable the reader to relate current economic news to the theoretical material discussed.
Macroeconomic Policy is designed for a global audience. A key feature of this book is its emphasis on the role of expectations and "paradigm shifts" in implementing fiscal and monetary policies, both in developed as well as in emerging economies. This approach explains why once-successful macroeconomic models suddenly cease to be effective, and why Keynesian as well as Supply-Side models can legitimately coexist in several developed economies.

Customer Reviews:

Good Reference book. Not a text book that one can learn from........2007-09-06

I must confess that I have no prior knowledge of economics before taking a masters course in macroeconomics. I found it very difficult to learn the subject from the book. The book served me a good reference book. Its not a ideal text book.

Not bad for an Econ text.......2007-01-09

As Econ texts go, this one is pretty straight forward and compact. It gets the point across in a small amount of space. The real world articles and analysis is very helpful. My professor was pretty bad for this course, so the book was a lifesaver.

Very useful.......2006-04-26

A great book for the understading of Macro, and corelate the discussion with the real world. However, the book is not aimed towards the one who is looking for in depth mathematical derivations behind the macro policies. Very interesting to read.

Excellent Preparation for CFA Level 1.......2003-10-22

I am an employee at Merrill Lynch (I have my series 7,63,65,24,4), and currently studying for the CFA Level 1 Exam, however, my background is in Biochemistry and Biology so it is pretty obvious that I was behind my peers relative to our formal academic background. So, I felt that I needed a book that that could clearly communicate the macroeconomic policies that govern this country. However, because the CFA level 1 is a difficult exam, I could not afford to have the author dilute the information, or overly simplify the information. Fortunately, the literature provided in this book not only conveyed the information better, and clearer than, the actual CFA preparatory classes that I had been taken, but it was such a fun book to read. The beauty of this book is that it provides actual contemporay, and historic global examples to supplement the literature. Prior to reading this book, I had read other books on macroeconomic policy that were so dry that I could not even finish the chapters (and I had read some pretty dry books during my days as an undergrade pursuing my double major in Biotechnology and Biology), but this book was the type of book that I did not want to put down from the moment I started reading it. Furthermore, this book also assisted me in getting a better understanding of the markets (equities and real estate) for future investments as well. After reading this book, I am such a sharper investor, I can now dissect the nonsense from the valid information that is being promoted on TV and in magazines. I highly recommend this book for everyone who is interested in getting a deeper understanding of how our government works, and how our economy works relative to the rest of the world.

Excellent Preparation for CFA Level 1.......2003-10-22

I am an employee at Merrill Lynch (I have my series 7,63,65,24,4) and currently studying for the CFA Level 1 Exam, however, my background is in Biochemistry and Biology so it is pretty obvious that I was behind relative to my peers with regards to our formal academic background. So I felt that I needed a book that that could clearly communicate the macroeconomic policies that govern this country. However, because the CFA level 1 is a difficult exam, I could not afford to have the author dilute the information or overly simplify the information. Fortunately, the literature provided in this book not only conveyed the information better, and clearer than the actual CFA preparatory classes that I had been taken, but it was such a fun book to read. The beauty of this book is that it provides actual contemporay and historic global examples to supplement the literature. Prior to reading this book I had read other books on macroeconomic policy that were so dry that I could not even finish the chapters (and I had read some pretty dry books during my days as an undergrade pursuing my double major in Biotechnology and Biology)but this book was the type of book that I did not want to put down from the moment I started reading it. Furthermore, this book also assisted me in getting a better understanding of the markets (equities and real estate) for future investments as well. After reading this book, I am such a sharper investor, I can now dissect the nonsense from the valid information that is being promoted on TV and in magazines. I highly recommend this book for everyone who is interested in getting a deeper understanding of how our government works, and how our economy works relative to the rest of the world.

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Small Businesses Built to Last: A Practical Guide to Building a Sound, Financially Robust Enterprise
Philip Webb , and Sandra Webb
Manufacturer: Financial Times Management
ProductGroup: Book
Binding: Paperback

General | Business & Investing | Subjects | Books
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ASIN: 0273656805

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Small Businesses Built to Last: A Practical Guide to Building a Sound, Financially Robust Enterprise
Philip; Webb, Sandra Webb
Manufacturer: Financial Times Management
ProductGroup: Book
Binding: Paperback
ASIN: B000OQHNYQ

Book Description

Develop your powers of public persuasion with the ultimate guide to great speeches and business presentations… Do you get tongue-tied at the mere thought of speaking in public? Would you rather swim with sharks or undergo a tax audit than face an audience? Well, you're not alone. According to the Book of Lists' list of humans' greatest fears, the fear of death is our fourth greatest fear, while fear of public speaking commands a solid first place. Now from Roger E. Axtell, one of America's most accomplished public speakers, here's a book guaranteed to turn even the most stage-shy mumbler into a great communicator. Geared primarily, but not exclusively, for business people, this amusing and informative guide can show you how to possess the powers of public persuasion you've always dreamed of having. Whether it's making a pitch to the board of directors, or prepping the sales force, stating your case to the town council, or being interviewed on live TV, Do's and Taboos of Public Speaking can help you to be an intelligent, articulate, confident, and likable presence in front of any audience you'll ever face.

Surefire techniques for controlling fear, preparing for and organizing a business presentation or speech, using body language and humor, getting the most out of audio and audio/visual equipment, speaking in front of the camera, and much, much more
Helpful hints from successful business speakers and such greats as Winston Churchill, Lee Iacocca, Red Barber, Roger Ailes, and Charles Osgood
Special chapters on humor and roasts, speaking internationally, and even how to become a professional speaker

Book Description

Any parent knows kids are great at coming up with challenging questions, and where money is concerned, the answers can get quite complicated! 105 Questions Children Ask about Money Matters helps parents field a wide variety of questions on financial topics as diverse as banks, giving to church, allowances, and credit cards. As in the previous books in this series, fun cartoons help illustrate the questions, while simple explanations and related Bible verses give parents the answers they need.

Customer Reviews:

Lots of Questions, Lots of Answers.......2001-12-27

This was a helpful book with lots of good questions and financially sound answers.

105 Question Children Ask about Money Matters: With Answers from the Bible for Busy Parents

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105 Question Children Ask about Money Matters: With Answers from the Bible for Busy Parents
Tyndale House Publishers
Manufacturer: Tyndale House Publishers
ProductGroup: Book
Binding: Paperback

General | Parenting | Parenting & Families | Subjects | Books

Health o Meter HDC100-01 "Grow with Me" Teddy Bear Scale for Babies and Toddlers

ASIN: 0842344756

Book Description

Studies of American industry frequently cite Lowell, Massachusetts, as an early model for business practices. Scholars have sought to explain the city's rise to prominence, the impact of its textile mills on workers and on commerce, and its part in regional development and American prosperity. Laurence Gross looks beyond these issues. Focusing on Lowell's Boott Cotton Mills, he examines the industry's struggle to maintain its prominence, the causes of its decline, and its ultimate flight south.

Gross puts much of the blame for the pattern of events on the mill-owners themselves. They resisted reinvestment, so their operations became less efficient. They kept antiquated machinery running long after it was safe to do so, and they were slow to respond to issues of worker safety. The increased textile demands of World War II, Gross explains, only forestalled the mills' inevitable demise.

Customer Reviews:

The Hobo Philosopher.......2007-08-26

This book is technical and contains a lot of detail. But if you are a descendant of Mill workers from the Lawrence/Lowell area and you want to know more about the actual decline and the abandonment of the area by the Industrialist of the era this is a good place to start. I found out what I wanted to know. I have also written a book about growing up in Lawrence in the 60's entitled "A Summer with Charlie" which is now also listed on Amazon. I'm getting a novel ready also about Lawrence "Honor Thy Father and Thy Mother". It has a lot to do with the mills closing down after the war and the difficulties that were placed on the workers and their families. So as you might imagine this subject and this book were of particular interest to me.

The Course of Industrial Decline: The Boott Cotton Mills of Lowell, Massachusetts, 1835-1955 - SIGNED COPY

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The Course of Industrial Decline: The Boott Cotton Mills of Lowell, Massachusetts, 1835-1955 - SIGNED COPY
Laurence F. Gross
Manufacturer: Johns Hopkins Univ Pr
ProductGroup: Book
Binding: Hardcover
ASIN: B000QDJ5NO

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