文档介绍：n
M o d ell in g Fin an ci a1
Time Series
Second Edition
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Modelling Financial Time Serices
h
STEPHEN J* TAYLOR
Imcaster University, UK
world scientific
Published by
World Scientific Publishing Co. Pte. Ltd.
5 Toh Tuck Link, Singapore 596224
USA oflice: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601
UK ofice: 57 Shelton Street, Covent Garden, London WC2H 9HE
Library of Congress Cataloging-in-PublicationData
Taylor, Stephen (Stephen J.)
Modelling financial time series /by Stephen J Taylor. -- 2nd ed.
p. cm.
Reprint of the edition originally published: Chichester [West Sussex] ; New York :
Wiley, c1986.
Includes bibliographical references and index.
ISBN-I 3: 978-981-277-084-4
ISBN- 10: 98 1 -277-084-4
1. Stocks--Prices--Mathematical models. 2. Commodity exchanges--Mathematical
models. 3. Financial futures--Mathematical models. 4. Time-series analysis. I. Title.
2007
'22201 1--dc22
2007043574
British Library Cataloguing-in-PublicationData
A catalogue record for this book is available from the British Library.
Copyright 0 2008 by World Scientific Publishing Co. Re. Ltd.
All rights reserved. This book. or parts thereof; may not be reproduced in any form or by any means,
electronic. or tnechanical, including photocopying, recording or any information storage and retrieval
system now known or to be invented, without written permission,from the Publisher.
For photocopying of material in this volume, please pay a copying fee through the Copyright
Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to
photocopy is not required from the publisher.
Printed in Singapore by World Scientific Printers (S)Pte Ltd
To my priceless wife
Sa Ily
Contents-
Page
Preface to the 2nd edition xv
Preface to the 1st edition xxv
1 INTRODUCTION 1
1 .I Financial time series 1
About this stu