Forecasting volatility in the financial markets /
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...
| Други автори: | Knight, John L. (Editor), Satchell, S. |
|---|---|
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Amsterdam ; Boston :
Butterworth-Heinemann,
2007.
|
| Издание: | 3rd ed. |
| Серия: |
Quantitative finance series.
|
| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=187444 |
| Подобни документи: |
Print version::
Forecasting volatility in the financial markets. |
Съдържание:
- 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.