Forecasting volatility in the financial markets:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Oxford [u.a.]
Butterworth-Heinemann
2002
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Publisher description Table of contents Inhaltsverzeichnis |
| Beschreibung: | VIII, 407 S. graph. Darst. |
| ISBN: | 0750655151 |
Internformat
MARC
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| 245 | 1 | 0 | |a Forecasting volatility in the financial markets |c ed. by John Knight ... |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Oxford [u.a.] |b Butterworth-Heinemann |c 2002 | |
| 300 | |a VIII, 407 S. |b graph. Darst. | ||
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| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Options (Finance) -- Mathematical models | |
| 650 | 4 | |a Securities -- Prices -- Mathematical models | |
| 650 | 4 | |a Stock price forecasting -- Mathematical models | |
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Datensatz im Suchindex
| _version_ | 1804133135643836416 |
|---|---|
| adam_text | Contents
List of contributors vii
Preface to second edition ix
Introduction x
1 Volatility modelling in finance 1
Abdurrahman Bekir Aydemir
2 Stochastic volatility and option pricing 47
George J. Jiang
3 Modelling slippage: an application to the bund futures contract 97
Emmanuel Acar and Edouard Petitdidier
4 Real trading volume and price action in the foreign exchange
markets 117
Pierre Lequeux
5 Implied risk neutral probability density functions from option
prices: a central bank perspective 137
Bhupinder Bahra
6 Hashing GARCH: a reassessment of volatility forecasting
performance 168
George A. Christodoulakis and Stephen E. Satchell
7 Implied volatility forecasting: a comparison of different
procedures including fractionally integrated models with
applications to UK equity options 193
Soosung Hwang and Stephen E. Satchell
8 GARCH predictions and the predictions of option prices 226
John Knight and Stephen E. Satchell
9 Volatility forecasting in a tick data model 245
L.C.G. Rogers
vi Contents
10 An econometric model of downside risk 251
Shaun Bond
11 Variations in the mean and volatility of stock returns around
turning points of the business cycle 287
Gabriel Perez Quiros and Allan Timmermann
12 Long memory in stochastic volatility 307
Andrew C. Harvey
13 GARCH processes some exact results, some difficulties and a
suggested remedy 321
John L. Knight and Stephen E. Satchell
14 Generating composite volatility forecasts with random factor betas 347
George A. Christodoulakis
15 The information content of the FTSE100 index option implied
volatility and its structural changes with links to loss aversion 366
Declan Chih Yen Huang
Index 399
I
|
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| dewey-ones | 332 - Financial economics |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| indexdate | 2024-07-09T20:03:54Z |
| institution | BVB |
| isbn | 0750655151 |
| language | English |
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| physical | VIII, 407 S. graph. Darst. |
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| spelling | Forecasting volatility in the financial markets ed. by John Knight ... 2. ed. Oxford [u.a.] Butterworth-Heinemann 2002 VIII, 407 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Actions (Titres de société) - Prix - Prévision - Modèles mathématiques Administração de risco larpcal Financiële instellingen gtt Mercado financeiro larpcal Options (Finances) - Modèles mathématiques Opções financeiras larpcal Risicoanalyse gtt Valeurs mobilières - Prix - Modèles mathématiques Voorspellingen gtt Mathematisches Modell Options (Finance) -- Mathematical models Securities -- Prices -- Mathematical models Stock price forecasting -- Mathematical models Prognose (DE-588)4047390-9 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Volatilität (DE-588)4268390-7 s Prognose (DE-588)4047390-9 s DE-604 Kreditmarkt (DE-588)4073788-3 s DE-188 Knight, John Sonstige oth http://www.loc.gov/catdir/description/els031/2002033236.html Publisher description http://www.loc.gov/catdir/toc/els031/2002033236.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013018237&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Forecasting volatility in the financial markets Actions (Titres de société) - Prix - Prévision - Modèles mathématiques Administração de risco larpcal Financiële instellingen gtt Mercado financeiro larpcal Options (Finances) - Modèles mathématiques Opções financeiras larpcal Risicoanalyse gtt Valeurs mobilières - Prix - Modèles mathématiques Voorspellingen gtt Mathematisches Modell Options (Finance) -- Mathematical models Securities -- Prices -- Mathematical models Stock price forecasting -- Mathematical models Prognose (DE-588)4047390-9 gnd Volatilität (DE-588)4268390-7 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| subject_GND | (DE-588)4047390-9 (DE-588)4268390-7 (DE-588)4073788-3 (DE-588)4143413-4 |
| title | Forecasting volatility in the financial markets |
| title_auth | Forecasting volatility in the financial markets |
| title_exact_search | Forecasting volatility in the financial markets |
| title_full | Forecasting volatility in the financial markets ed. by John Knight ... |
| title_fullStr | Forecasting volatility in the financial markets ed. by John Knight ... |
| title_full_unstemmed | Forecasting volatility in the financial markets ed. by John Knight ... |
| title_short | Forecasting volatility in the financial markets |
| title_sort | forecasting volatility in the financial markets |
| topic | Actions (Titres de société) - Prix - Prévision - Modèles mathématiques Administração de risco larpcal Financiële instellingen gtt Mercado financeiro larpcal Options (Finances) - Modèles mathématiques Opções financeiras larpcal Risicoanalyse gtt Valeurs mobilières - Prix - Modèles mathématiques Voorspellingen gtt Mathematisches Modell Options (Finance) -- Mathematical models Securities -- Prices -- Mathematical models Stock price forecasting -- Mathematical models Prognose (DE-588)4047390-9 gnd Volatilität (DE-588)4268390-7 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Actions (Titres de société) - Prix - Prévision - Modèles mathématiques Administração de risco Financiële instellingen Mercado financeiro Options (Finances) - Modèles mathématiques Opções financeiras Risicoanalyse Valeurs mobilières - Prix - Modèles mathématiques Voorspellingen Mathematisches Modell Options (Finance) -- Mathematical models Securities -- Prices -- Mathematical models Stock price forecasting -- Mathematical models Prognose Volatilität Kreditmarkt Aufsatzsammlung |
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