Forecasting volatility in the financial markets:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Amsterdam u.a.
Butterworth-Heinemann
2007
|
| Edition: | 3. ed. |
| Series: | Quantitative finance series
Elsevier finance |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VIII, 415 S. graph. Darst. |
| ISBN: | 9780750669429 075066942x |
Staff View
MARC
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Record in the Search Index
| _version_ | 1804137757461708800 |
|---|---|
| adam_text | Contents
List of contributors
vii
Preface to third edition
ix
Introduction
xi
1
Volatility modelling and forecasting in finance
1
Linlan Xiao and Abdurrahman Aydemir
2
What good is a volatility model?
47
Robert
ľ.
Engle and Andrew J.
Patton
3
Applications of portfolio variety
65
Dan diBartolomeo
4
A comparison of the properties of realized variance for the FTSE
100
and FTSE
250
equity indices
73
Rob Cornish
5
An investigation of the relative performance of GARCH models versus
simple rules in forecasting volatility
101
Thomas A. Silvey
6
Stochastic volatility and option pricing
131
George J. Jiang
7
Modelling slippage: an application to the bund futures contract
173
Emmanuel
Acar
and
Edouard Petitdidier
8
Real trading volume and price action in the foreign exchange markets
1 87
Pierre Lequeux
9
Implied risk-neutral probability density functions from option prices:
a central bank perspective
201
Bhupinder Bahra
10
Hashing GARCH: a reassessment of volatility forecasting performance
227
George A. Christodoulakis and Stephen E. Satchel!
11
Implied volatility forecasting: a comparison of different procedures
including fractionally integrated models with applications to UK
equity options
249
Soosung Hwang and Stephen E. Satchell
12
GARCH predictions and the predictions of option prices
279
John Knight and Stephen E. Satchell
13
Volatility forecasting in a tick data model
295
L.C.G. Rogers
14
An econometric model of downside risk
301
Shaun Bond
15
Variations in the mean and volatility of stock returns around
turning points of the business cycle
333
Gabriel Perez-Quiros and Allan
Timmermann
16
Long memory in stochastic volatility
351
Andrew C. Harvey
17
GARCH processes
-
some exact results, some difficulties
and a suggested remedy
365
John L. Knight and Stephen E. Satchell
18
Generating composite volatility forecasts with random factor betas
391
George A. Christodoulakis
Index
407
|
| adam_txt |
Contents
List of contributors
vii
Preface to third edition
ix
Introduction
xi
1
Volatility modelling and forecasting in finance
1
Linlan Xiao and Abdurrahman Aydemir
2
What good is a volatility model?
47
Robert
ľ.
Engle and Andrew J.
Patton
3
Applications of portfolio variety
65
Dan diBartolomeo
4
A comparison of the properties of realized variance for the FTSE
100
and FTSE
250
equity indices
73
Rob Cornish
5
An investigation of the relative performance of GARCH models versus
simple rules in forecasting volatility
101
Thomas A. Silvey
6
Stochastic volatility and option pricing
131
George J. Jiang
7
Modelling slippage: an application to the bund futures contract
173
Emmanuel
Acar
and
Edouard Petitdidier
8
Real trading volume and price action in the foreign exchange markets
1 87
Pierre Lequeux
9
Implied risk-neutral probability density functions from option prices:
a central bank perspective
201
Bhupinder Bahra
10
Hashing GARCH: a reassessment of volatility forecasting performance
227
George A. Christodoulakis and Stephen E. Satchel!
11
Implied volatility forecasting: a comparison of different procedures
including fractionally integrated models with applications to UK
equity options
249
Soosung Hwang and Stephen E. Satchell
12
GARCH predictions and the predictions of option prices
279
John Knight and Stephen E. Satchell
13
Volatility forecasting in a tick data model
295
L.C.G. Rogers
14
An econometric model of downside risk
301
Shaun Bond
15
Variations in the mean and volatility of stock returns around
turning points of the business cycle
333
Gabriel Perez-Quiros and Allan
Timmermann
16
Long memory in stochastic volatility
351
Andrew C. Harvey
17
GARCH processes
-
some exact results, some difficulties
and a suggested remedy
365
John L. Knight and Stephen E. Satchell
18
Generating composite volatility forecasts with random factor betas
391
George A. Christodoulakis
Index
407 |
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| series2 | Quantitative finance series Elsevier finance |
| spelling | Forecasting volatility in the financial markets ed. by John Knight ... 3. ed. Amsterdam u.a. Butterworth-Heinemann 2007 VIII, 415 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Quantitative finance series Elsevier finance Mathematisches Modell Options (Finance) Mathematical models Securities Prices Mathematical models Stock price forecasting Mathematical models Volatilität (DE-588)4268390-7 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Prognose (DE-588)4047390-9 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Kreditmarkt (DE-588)4073788-3 s Volatilität (DE-588)4268390-7 s Prognose (DE-588)4047390-9 s 1\p DE-604 Knight, John Sonstige oth Digitalisierung UB Augsburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016566628&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Forecasting volatility in the financial markets Mathematisches Modell Options (Finance) Mathematical models Securities Prices Mathematical models Stock price forecasting Mathematical models Volatilität (DE-588)4268390-7 gnd Kreditmarkt (DE-588)4073788-3 gnd Prognose (DE-588)4047390-9 gnd |
| subject_GND | (DE-588)4268390-7 (DE-588)4073788-3 (DE-588)4047390-9 (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_exact_search_txtP | 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 | Mathematisches Modell Options (Finance) Mathematical models Securities Prices Mathematical models Stock price forecasting Mathematical models Volatilität (DE-588)4268390-7 gnd Kreditmarkt (DE-588)4073788-3 gnd Prognose (DE-588)4047390-9 gnd |
| topic_facet | Mathematisches Modell Options (Finance) Mathematical models Securities Prices Mathematical models Stock price forecasting Mathematical models Volatilität Kreditmarkt Prognose Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016566628&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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