1,000 citations and now republished: Modelling Financial Time Series
Published 2 April 2008
The highly-cited text Modelling Financial Time Series, by Stephen Taylor, a LUMS Professor of Finance, has now been republished by World Scientific. The second edition commences with a new preface, which summarises the considerable progress made by empirical researchers since the publication of the first edition by John Wiley in 1986.
The citation score for Modelling Financial Time Series at Google Scholar recently climbed above 1,000. More than 330 citations are listed at Thomson’s ISI Web of Knowledge.
Modelling Financial Time Series 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.
Stephen Taylor is also the author of Asset Price Dynamics, Volatility and Prediction, published in 2005 by Princeton University Press.
