Asset Price Dynamics, Volatility, and Prediction:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton and Oxford
Princeton University Press
[2005]
|
| Schlagworte: | |
| Online-Zugang: | FAB01 FAW01 FCO01 FHA01 FKE01 FLA01 UBG01 UPA01 Volltext |
| Beschreibung: | Main description: 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 theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed |
| Beschreibung: | 1 Online-Ressource (xv, 525 Seiten) Illustrationen, Diagramme |
| ISBN: | 9781400839254 |
| DOI: | 10.1515/9781400839254 |
Internformat
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Datensatz im Suchindex
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| any_adam_object | |
| author | Taylor, Stephen 1954- |
| author_GND | (DE-588)131549766 |
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| building | Verbundindex |
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| classification_rvk | QK 622 QK 800 |
| collection | ZDB-23-DGG |
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| dewey-full | 332.60151962 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
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| dewey-sort | 3332.60151962 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| doi_str_mv | 10.1515/9781400839254 |
| format | Electronic eBook |
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| id | DE-604.BV042522892 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:24:02Z |
| institution | BVB |
| isbn | 9781400839254 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027957231 |
| oclc_num | 858052252 |
| open_access_boolean | |
| owner | DE-859 DE-860 DE-473 DE-BY-UBG DE-Aug4 DE-739 DE-1046 DE-1043 DE-858 |
| owner_facet | DE-859 DE-860 DE-473 DE-BY-UBG DE-Aug4 DE-739 DE-1046 DE-1043 DE-858 |
| physical | 1 Online-Ressource (xv, 525 Seiten) Illustrationen, Diagramme |
| psigel | ZDB-23-DGG ZDB-23-DGG FAW_PDA_DGG ZDB-23-DGG FCO_PDA_DGG ZDB-23-DGG FHA_PDA_DGG ZDB-23-DGG FKE_PDA_DGG ZDB-23-DGG FLA_PDA_DGG ZDB-23-DGG UBG_PDA_DGG ZDB-23-DGG UPA_PDA_DGG |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Princeton University Press |
| record_format | marc |
| spelling | Taylor, Stephen 1954- Verfasser (DE-588)131549766 aut Asset Price Dynamics, Volatility, and Prediction Stephen J. Taylor Princeton and Oxford Princeton University Press [2005] 1 Online-Ressource (xv, 525 Seiten) Illustrationen, Diagramme txt rdacontent c rdamedia cr rdacarrier Main description: 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 theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Kapitalmarkt (DE-588)4029578-3 s 1\p DE-604 Erscheint auch als Druck-Ausgabe, Paperback 978-0-691-13479-6 https://doi.org/10.1515/9781400839254 Verlag Volltext https://doi.org/10.1515/9781400839254 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Taylor, Stephen 1954- Asset Price Dynamics, Volatility, and Prediction Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| subject_GND | (DE-588)4121078-5 (DE-588)4029578-3 |
| title | Asset Price Dynamics, Volatility, and Prediction |
| title_auth | Asset Price Dynamics, Volatility, and Prediction |
| title_exact_search | Asset Price Dynamics, Volatility, and Prediction |
| title_full | Asset Price Dynamics, Volatility, and Prediction Stephen J. Taylor |
| title_fullStr | Asset Price Dynamics, Volatility, and Prediction Stephen J. Taylor |
| title_full_unstemmed | Asset Price Dynamics, Volatility, and Prediction Stephen J. Taylor |
| title_short | Asset Price Dynamics, Volatility, and Prediction |
| title_sort | asset price dynamics volatility and prediction |
| topic | Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| topic_facet | Capital-Asset-Pricing-Modell Kapitalmarkt |
| url | https://doi.org/10.1515/9781400839254 |
| work_keys_str_mv | AT taylorstephen assetpricedynamicsvolatilityandprediction |