Asset price dynamics, volatility, and prediction:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton, N.J.
Princeton University Press
2007, ©2005
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | Includes bibliographical references (pages 473-501) and indexes I. Foundations. Prices and returns ; Stochastic processes : definitions and examples ; Stylized facts for financial returns -- II. Conditional expected returns. The variance-ratio test of the random walk hypothesis ; Further tests of the random walk hypothesis ; Trading rules and market efficiency -- III. Volatility processes. An introduction to volatility ; ARCH models : definitions and examples ; ARCH models : selection and likelihood methods ; Stochastic volatility models -- IV. High-frequency methods. High-frequency data and models -- V. Inferences from option prices. Continuous-time stochastic processes ; Option pricing formulae ; Forecasting volatility ; Density prediction for asset prices 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 |
| Beschreibung: | 1 Online-Ressource (xv, 525 pages) |
| ISBN: | 9781400839254 1400839254 9780691134796 0691134790 |
Internformat
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| 500 | |a 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 | ||
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Datensatz im Suchindex
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| author | Taylor, Stephen, (Stephen J.) |
| author_facet | Taylor, Stephen, (Stephen J.) |
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| dewey-full | 332.60151962 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.60151962 |
| dewey-search | 332.60151962 |
| dewey-sort | 3332.60151962 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| illustrated | Not Illustrated |
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| isbn | 9781400839254 1400839254 9780691134796 0691134790 |
| language | English |
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| spelling | Taylor, Stephen, (Stephen J.) Verfasser aut Asset price dynamics, volatility, and prediction Stephen J. Taylor Princeton, N.J. Princeton University Press 2007, ©2005 1 Online-Ressource (xv, 525 pages) txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references (pages 473-501) and indexes I. Foundations. Prices and returns ; Stochastic processes : definitions and examples ; Stylized facts for financial returns -- II. Conditional expected returns. The variance-ratio test of the random walk hypothesis ; Further tests of the random walk hypothesis ; Trading rules and market efficiency -- III. Volatility processes. An introduction to volatility ; ARCH models : definitions and examples ; ARCH models : selection and likelihood methods ; Stochastic volatility models -- IV. High-frequency methods. High-frequency data and models -- V. Inferences from option prices. Continuous-time stochastic processes ; Option pricing formulae ; Forecasting volatility ; Density prediction for asset prices 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 Business BUSINESS & ECONOMICS / Investments & Securities / General bisacsh BUSINESS & ECONOMICS / Econometrics bisacsh Capital assets pricing model fast Finance / Mathematical models fast Capital-Asset-Pricing-Modell swd Kapitalmarkt swd Mathematisches Modell Wirtschaft Capital assets pricing model Finance Mathematical models 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 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=356025 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Taylor, Stephen, (Stephen J.) Asset price dynamics, volatility, and prediction Business BUSINESS & ECONOMICS / Investments & Securities / General bisacsh BUSINESS & ECONOMICS / Econometrics bisacsh Capital assets pricing model fast Finance / Mathematical models fast Capital-Asset-Pricing-Modell swd Kapitalmarkt swd Mathematisches Modell Wirtschaft Capital assets pricing model Finance Mathematical models 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 | Business BUSINESS & ECONOMICS / Investments & Securities / General bisacsh BUSINESS & ECONOMICS / Econometrics bisacsh Capital assets pricing model fast Finance / Mathematical models fast Capital-Asset-Pricing-Modell swd Kapitalmarkt swd Mathematisches Modell Wirtschaft Capital assets pricing model Finance Mathematical models Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| topic_facet | Business BUSINESS & ECONOMICS / Investments & Securities / General BUSINESS & ECONOMICS / Econometrics Capital assets pricing model Finance / Mathematical models Capital-Asset-Pricing-Modell Kapitalmarkt Mathematisches Modell Wirtschaft Finance Mathematical models |
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