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Asset Price Dynamics, Volatility, and Prediction /
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and...
| Autor principal: | |
|---|---|
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton, N.J. :
Princeton University Press,
2007, 2005.
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| Colección: | Book collections on Project MUSE.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 020 | |a 9781400839254 | ||
| 020 | |z 9780691115375 | ||
| 020 | |z 9780691134796 | ||
| 035 | |a (OCoLC)813288894 | ||
| 040 | |a MdBmJHUP |c MdBmJHUP | ||
| 100 | 1 | |a Taylor, Stephen |q (Stephen J.), |e author. | |
| 245 | 1 | 0 | |a Asset Price Dynamics, Volatility, and Prediction / |c Stephen J. Taylor. |
| 264 | 1 | |a Princeton, N.J. : |b Princeton University Press, |c 2007, 2005. | |
| 264 | 3 | |a Baltimore, Md. : |b Project MUSE, |c 2015 | |
| 264 | 4 | |c ©2007, 2005. | |
| 300 | |a 1 online resource (544 pages): |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 505 | 0 | |a I. Foundations. Prices and returns ; Stochastic processes : definitions and examples ; Stylized facts for financial returns -- II. Conditional expected returns. The variance-ratio test of the random walk hypothesis ; Further tests of the random walk hypothesis ; Trading rules and market efficiency -- III. Volatility processes. An introduction to volatility ; ARCH models : definitions and examples ; ARCH models : selection and likelihood methods ; Stochastic volatility models -- IV. High-frequency methods. High-frequency data and models -- V. Inferences from option prices. Continuous-time stochastic processes ; Option pricing formulae ; Forecasting volatility ; Density prediction for asset prices. | |
| 520 | |a This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance. | ||
| 546 | |a English. | ||
| 588 | |a Description based on print version record. | ||
| 650 | 7 | |a Kapitalmarkt |2 gnd | |
| 650 | 7 | |a Capital-Asset-Pricing-Modell |2 gnd | |
| 650 | 7 | |a Finance |x Mathematical models. |2 fast |0 (OCoLC)fst00924398 | |
| 650 | 7 | |a Capital assets pricing model. |2 fast |0 (OCoLC)fst00846288 | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Econometrics. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 6 | |a Finances |x Modeles mathematiques. | |
| 650 | 6 | |a Modele d'evaluation des actifs financiers. | |
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 0 | |a Capital assets pricing model. | |
| 655 | 7 | |a Electronic books. |2 local | |
| 710 | 2 | |a Project Muse. |e distributor | |
| 830 | 0 | |a Book collections on Project MUSE. | |
| 856 | 4 | 0 | |z Texto completo |u https://projectmuse.uam.elogim.com/book/31058/ |
| 945 | |a Project MUSE - Custom Collection | ||
| 945 | |a Project MUSE - Archive Complete Supplement III | ||
| 945 | |a Project MUSE - Archive Political Science and Policy Studies Supplement III | ||