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...
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Amsterdam
Butterworth-Heinemann
2007
|
| Ausgabe: | 3. ed |
| Schlagworte: | |
| Zusammenfassung: | 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 ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition: * What good is a volatility model? Engle and Patton * Applications for portfolio variety Dan diBartolomeo * A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish * Volatility modeling and forecasting in finance Xiao and Aydemir * An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey * Leading thinkers present newest research on volatility forecasting *International authors cover a broad array of subjects related to volatility forecasting *Assumes basic knowledge of volatility, financial mathematics, and modelling |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | 1 Online-Ressource (1 online resource (viii, 415 p.)) ill |
| ISBN: | 9780750669429 9780080471426 |
Internformat
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| 520 | |a 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 ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition: * What good is a volatility model? Engle and Patton * Applications for portfolio variety Dan diBartolomeo * A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish * Volatility modeling and forecasting in finance Xiao and Aydemir * An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey * Leading thinkers present newest research on volatility forecasting *International authors cover a broad array of subjects related to volatility forecasting *Assumes basic knowledge of volatility, financial mathematics, and modelling | ||
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| edition | 3. ed |
| format | Electronic eBook |
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| spelling | Forecasting volatility in the financial markets ed. by John Knight ... 3. ed Amsterdam Butterworth-Heinemann 2007 1 Online-Ressource (1 online resource (viii, 415 p.)) ill txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references and index 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 ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition: * What good is a volatility model? Engle and Patton * Applications for portfolio variety Dan diBartolomeo * A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish * Volatility modeling and forecasting in finance Xiao and Aydemir * An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey * Leading thinkers present newest research on volatility forecasting *International authors cover a broad array of subjects related to volatility forecasting *Assumes basic knowledge of volatility, financial mathematics, and modelling Options (Finance) / Mathematical models Securities / Prices / Mathematical models Stock price forecasting / Mathematical models BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Voorspellingen gtt Financiële instellingen gtt Risicoanalyse gtt Mathematisches Modell Wirtschaft Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Prognose (DE-588)4047390-9 gnd rswk-swf 1\p (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 2\p DE-604 Knight, John L. Sonstige (DE-588)173564615 oth 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Forecasting volatility in the financial markets Options (Finance) / Mathematical models Securities / Prices / Mathematical models Stock price forecasting / Mathematical models BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Voorspellingen gtt Financiële instellingen gtt Risicoanalyse gtt Mathematisches Modell Wirtschaft Kreditmarkt (DE-588)4073788-3 gnd Volatilität (DE-588)4268390-7 gnd Prognose (DE-588)4047390-9 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4268390-7 (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_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 | Options (Finance) / Mathematical models Securities / Prices / Mathematical models Stock price forecasting / Mathematical models BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Voorspellingen gtt Financiële instellingen gtt Risicoanalyse gtt Mathematisches Modell Wirtschaft Kreditmarkt (DE-588)4073788-3 gnd Volatilität (DE-588)4268390-7 gnd Prognose (DE-588)4047390-9 gnd |
| topic_facet | Options (Finance) / Mathematical models Securities / Prices / Mathematical models Stock price forecasting / Mathematical models BUSINESS & ECONOMICS / Investments & Securities / General Voorspellingen Financiële instellingen Risicoanalyse Mathematisches Modell Wirtschaft Kreditmarkt Volatilität Prognose Aufsatzsammlung |
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