Forecasting volatility in the financial markets /

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This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Knight, John L. (Editor ), Satchell, Stephen, 1949- (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Amsterdam ; Boston : Butterworth-Heinemann, [2007]
Edición:Third edition.
Colección:Quantitative finance series.
Temas:
Options (Finance) > Mathematical models.
Securities > Prices > Mathematical models.
Stock price forecasting > Mathematical models.
Options (Finances) > Modèles mathématiques.
Valeurs mobilières > Prix > Modèles mathématiques.
Actions (Titres de société) > Prix > Prévision > Modèles mathématiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
Options (Finance) > Mathematical models
Securities > Prices > Mathematical models
Stock price forecasting > Mathematical models
Voorspellingen.
Financiële instellingen.
Risicoanalyse.
dissertations.
Academic theses
Academic theses.
Thèses et écrits académiques.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Volatility modelling and forecasting in finance / Linlan Xiao and Abdurrahman Aydemir
  • What good is a volatility model? / Robert F. Engle and Andrew J. Patton
  • Applications of portfolio variety / Dan diBartolomeo
  • Comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices / Rob Cornish
  • Investigation of the relative performance of GARCH models versus simple rules in forecasting volatility / Thomas A. Silvey
  • Stochastic volatility and option pricing / George J. Jiang
  • Modelling slippage : an application to the bund futures contract / Emmanuel Acar and Edouard Petitdidier
  • Real trading volume and price action in the foreign exchange markets / Pierre Lequeux
  • Implied risk-neutral probability density functions from option prices : a central bank perspective / Bhupinder Bahra
  • Hashing GARCH : a reassessment of volatility forecasting performance / George A. Christodoulakis and Stephen E. Satchell
  • Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options / Soosung Hwang and Stephen E. Satchell
  • GARCH predictions and the predictions of option prices / John Knight and Stephen E. Satchell
  • Volatility forecasting in a tick data model / L.C.G. Rogers
  • Econometric model of downside risk / Shaun Bond
  • Variations in the mean and volatility of stock returns around turning points of the business cycle / Gabriel Perez-Quiros and Allan Timmermann
  • Long memory in stochastic volatility / Andrew C. Harvey
  • GARCH processes-- some exact results, some difficulties and a suggested remedy / John L. Knight and Stephen E. Satchell
  • Generating composite volatility forecasts with random factor betas / George A. Christodoulakis.

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