Description
I enjoyed reading this book, which offers a close to unique merging of detailed and careful empirics with the finance and time series theory associated with the study of asset pricing dynamics. -- Neil Shephard, University of Oxford This well written text nicely balances new developments in various areas of theoretical and empirical finance, and it explains in a concise way how various models and methods are related. -- Philip Hans Franses, Professor of Applied Econometrics, Econometric Institute, Erasmus University, Rotterdam
About the Author
Stephen J. Taylor is Professor of Finance at Lancaster University, England. He is the author of "Modelling Financial Time Series" and many influential articles about applications of financial econometrics.
Reviews
Winner of the 2005 BestBook Award, Riskbook.com "This book provides thorough, well-presented and concise coverage of asset price dynamics and manages to combine new developments, established issues, theory and application in a practical and refreshing manner. It is well illustrated with time series graphs and tables and has a good balance between theoretical concepts and their practical applications with a mathematical treatment that is not too specialized."--Anthony F. Gyles, RSS
Book Information
ISBN 9780691134796
Author Stephen J. Taylor
Format Paperback
Page Count 544
Imprint Princeton University Press
Publisher Princeton University Press
Weight(grams) 765g