Asset price dynamics, volatility, and prediction /:
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...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton, N.J. :
Princeton University Press,
2007, ©2005.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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 resource (xv, 525 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 473-501) and indexes. |
| ISBN: | 9781400839254 1400839254 128299204X 9781282992047 9786612992049 6612992042 |
Internformat
MARC
| LEADER | 00000cam a2200000 a 4500 | ||
|---|---|---|---|
| 001 | ZDB-4-EBA-ocn705944547 | ||
| 003 | OCoLC | ||
| 005 | 20241004212047.0 | ||
| 006 | m o d | ||
| 007 | cr cnu---unuuu | ||
| 008 | 110307s2007 njua ob 001 0 eng d | ||
| 040 | |a N$T |b eng |e pn |c N$T |d E7B |d EBLCP |d MHW |d OCLCQ |d REDDC |d OCLCQ |d YDXCP |d OCLCQ |d DEBSZ |d JSTOR |d OCLCF |d DKDLA |d OCLCQ |d CUS |d OCLCO |d JBG |d AU@ |d AZK |d AGLDB |d OCLCQ |d MOR |d PIFAG |d ZCU |d MERUC |d OCLCQ |d IOG |d U3W |d EZ9 |d STF |d WRM |d VTS |d ICG |d VT2 |d OCLCQ |d LVT |d LEAUB |d DKC |d OCLCQ |d M8D |d UKAHL |d HS0 |d UWK |d UKBTH |d OCLCQ |d UKCRE |d OCLCQ |d OCLCO |d S2H |d OCLCQ |d OCLCO |d OCLCQ |d OCLCO |d OCLCL | ||
| 019 | |a 842266174 |a 857638123 |a 988409340 |a 991916071 |a 1037926125 |a 1038659515 |a 1055357019 |a 1058090610 |a 1109094086 |a 1110361121 |a 1113493385 |a 1153555938 | ||
| 020 | |a 9781400839254 |q (electronic bk.) | ||
| 020 | |a 1400839254 |q (electronic bk.) | ||
| 020 | |a 128299204X | ||
| 020 | |a 9781282992047 | ||
| 020 | |a 9786612992049 | ||
| 020 | |a 6612992042 | ||
| 020 | |z 9780691134796 | ||
| 020 | |z 0691134790 | ||
| 035 | |a (OCoLC)705944547 |z (OCoLC)842266174 |z (OCoLC)857638123 |z (OCoLC)988409340 |z (OCoLC)991916071 |z (OCoLC)1037926125 |z (OCoLC)1038659515 |z (OCoLC)1055357019 |z (OCoLC)1058090610 |z (OCoLC)1109094086 |z (OCoLC)1110361121 |z (OCoLC)1113493385 |z (OCoLC)1153555938 | ||
| 037 | |a 22573/cttw13h |b JSTOR | ||
| 050 | 4 | |a HG4636 |b .T348 2007eb | |
| 072 | 7 | |a BUS |x 036000 |2 bisacsh | |
| 072 | 7 | |a BUS021000 |2 bisacsh | |
| 072 | 7 | |a BUS050020 |2 bisacsh | |
| 072 | 7 | |a BUS027000 |2 bisacsh | |
| 082 | 7 | |a 332.60151962 |2 22 | |
| 049 | |a MAIN | ||
| 100 | 1 | |a Taylor, Stephen |q (Stephen J.), |e author. |1 https://id.oclc.org/worldcat/entity/E39PCjDHm786kGWcGkVrgJJp4C |0 http://id.loc.gov/authorities/names/n85369225 | |
| 245 | 1 | 0 | |a Asset price dynamics, volatility, and prediction / |c Stephen J. Taylor. |
| 260 | |a Princeton, N.J. : |b Princeton University Press, |c 2007, ©2005. | ||
| 300 | |a 1 online resource (xv, 525 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 504 | |a Includes bibliographical references (pages 473-501) and indexes. | ||
| 505 | 0 | |a 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. | |
| 520 | |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. | ||
| 588 | 0 | |a Print version record. | |
| 546 | |a English. | ||
| 650 | 0 | |a Capital assets pricing model. |0 http://id.loc.gov/authorities/subjects/sh85019932 | |
| 650 | 0 | |a Finance |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh85048260 | |
| 650 | 6 | |a Modèle d'évaluation des actifs financiers. | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Econometrics. |2 bisacsh | |
| 650 | 7 | |a Capital assets pricing model |2 fast | |
| 650 | 7 | |a Finance |x Mathematical models |2 fast | |
| 650 | 7 | |a Capital-Asset-Pricing-Modell |2 gnd |0 http://d-nb.info/gnd/4121078-5 | |
| 650 | 7 | |a Kapitalmarkt |2 gnd |0 http://d-nb.info/gnd/4029578-3 | |
| 758 | |i has work: |a Asset price dynamics, volatility, and prediction (Text) |1 https://id.oclc.org/worldcat/entity/E39PCFXgdtFqdPvm9bfyjqpRTd |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Taylor, Stephen (Stephen J.). |t Asset price dynamics, volatility, and prediction. |d Princeton, N.J. : Princeton University Press, 2007, ©2005 |z 9780691134796 |w (OCoLC)154694663 |
| 856 | 4 | 0 | |l FWS01 |p ZDB-4-EBA |q FWS_PDA_EBA |u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=356025 |3 Volltext |
| 938 | |a Askews and Holts Library Services |b ASKH |n AH26387951 | ||
| 938 | |a ProQuest Ebook Central |b EBLB |n EBL664610 | ||
| 938 | |a ebrary |b EBRY |n ebr10447296 | ||
| 938 | |a EBSCOhost |b EBSC |n 356025 | ||
| 938 | |a YBP Library Services |b YANK |n 3626233 | ||
| 994 | |a 92 |b GEBAY | ||
| 912 | |a ZDB-4-EBA | ||
| 049 | |a DE-863 | ||
Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-4-EBA-ocn705944547 |
|---|---|
| _version_ | 1816881753201049601 |
| adam_text | |
| any_adam_object | |
| author | Taylor, Stephen (Stephen J.) |
| author_GND | http://id.loc.gov/authorities/names/n85369225 |
| author_facet | Taylor, Stephen (Stephen J.) |
| author_role | aut |
| author_sort | Taylor, Stephen |
| author_variant | s t st |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG4636 |
| callnumber-raw | HG4636 .T348 2007eb |
| callnumber-search | HG4636 .T348 2007eb |
| callnumber-sort | HG 44636 T348 42007EB |
| callnumber-subject | HG - Finance |
| collection | ZDB-4-EBA |
| contents | 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. |
| ctrlnum | (OCoLC)705944547 |
| 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 |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>05008cam a2200697 a 4500</leader><controlfield tag="001">ZDB-4-EBA-ocn705944547</controlfield><controlfield tag="003">OCoLC</controlfield><controlfield tag="005">20241004212047.0</controlfield><controlfield tag="006">m o d </controlfield><controlfield tag="007">cr cnu---unuuu</controlfield><controlfield tag="008">110307s2007 njua ob 001 0 eng d</controlfield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">N$T</subfield><subfield code="b">eng</subfield><subfield code="e">pn</subfield><subfield code="c">N$T</subfield><subfield code="d">E7B</subfield><subfield code="d">EBLCP</subfield><subfield code="d">MHW</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">REDDC</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">YDXCP</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">DEBSZ</subfield><subfield code="d">JSTOR</subfield><subfield code="d">OCLCF</subfield><subfield code="d">DKDLA</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">CUS</subfield><subfield code="d">OCLCO</subfield><subfield code="d">JBG</subfield><subfield code="d">AU@</subfield><subfield code="d">AZK</subfield><subfield code="d">AGLDB</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">MOR</subfield><subfield code="d">PIFAG</subfield><subfield code="d">ZCU</subfield><subfield code="d">MERUC</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">IOG</subfield><subfield code="d">U3W</subfield><subfield code="d">EZ9</subfield><subfield code="d">STF</subfield><subfield code="d">WRM</subfield><subfield code="d">VTS</subfield><subfield code="d">ICG</subfield><subfield code="d">VT2</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">LVT</subfield><subfield code="d">LEAUB</subfield><subfield code="d">DKC</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">M8D</subfield><subfield code="d">UKAHL</subfield><subfield code="d">HS0</subfield><subfield code="d">UWK</subfield><subfield code="d">UKBTH</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">UKCRE</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">S2H</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCL</subfield></datafield><datafield tag="019" ind1=" " ind2=" "><subfield code="a">842266174</subfield><subfield code="a">857638123</subfield><subfield code="a">988409340</subfield><subfield code="a">991916071</subfield><subfield code="a">1037926125</subfield><subfield code="a">1038659515</subfield><subfield code="a">1055357019</subfield><subfield code="a">1058090610</subfield><subfield code="a">1109094086</subfield><subfield code="a">1110361121</subfield><subfield code="a">1113493385</subfield><subfield code="a">1153555938</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781400839254</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1400839254</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">128299204X</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781282992047</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9786612992049</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">6612992042</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">9780691134796</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">0691134790</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)705944547</subfield><subfield code="z">(OCoLC)842266174</subfield><subfield code="z">(OCoLC)857638123</subfield><subfield code="z">(OCoLC)988409340</subfield><subfield code="z">(OCoLC)991916071</subfield><subfield code="z">(OCoLC)1037926125</subfield><subfield code="z">(OCoLC)1038659515</subfield><subfield code="z">(OCoLC)1055357019</subfield><subfield code="z">(OCoLC)1058090610</subfield><subfield code="z">(OCoLC)1109094086</subfield><subfield code="z">(OCoLC)1110361121</subfield><subfield code="z">(OCoLC)1113493385</subfield><subfield code="z">(OCoLC)1153555938</subfield></datafield><datafield tag="037" ind1=" " ind2=" "><subfield code="a">22573/cttw13h</subfield><subfield code="b">JSTOR</subfield></datafield><datafield tag="050" ind1=" " ind2="4"><subfield code="a">HG4636</subfield><subfield code="b">.T348 2007eb</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS</subfield><subfield code="x">036000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS021000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS050020</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS027000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="082" ind1="7" ind2=" "><subfield code="a">332.60151962</subfield><subfield code="2">22</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">MAIN</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Taylor, Stephen</subfield><subfield code="q">(Stephen J.),</subfield><subfield code="e">author.</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PCjDHm786kGWcGkVrgJJp4C</subfield><subfield code="0">http://id.loc.gov/authorities/names/n85369225</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Asset price dynamics, volatility, and prediction /</subfield><subfield code="c">Stephen J. Taylor.</subfield></datafield><datafield tag="260" ind1=" " ind2=" "><subfield code="a">Princeton, N.J. :</subfield><subfield code="b">Princeton University Press,</subfield><subfield code="c">2007, ©2005.</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (xv, 525 pages) :</subfield><subfield code="b">illustrations</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">computer</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">online resource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="504" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references (pages 473-501) and indexes.</subfield></datafield><datafield tag="505" ind1="0" ind2=" "><subfield code="a">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.</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="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.</subfield></datafield><datafield tag="588" ind1="0" ind2=" "><subfield code="a">Print version record.</subfield></datafield><datafield tag="546" ind1=" " ind2=" "><subfield code="a">English.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Capital assets pricing model.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85019932</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Finance</subfield><subfield code="x">Mathematical models.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85048260</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Modèle d'évaluation des actifs financiers.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Finances</subfield><subfield code="x">Modèles mathématiques.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS</subfield><subfield code="x">Investments & Securities</subfield><subfield code="x">General.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS</subfield><subfield code="x">Econometrics.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Capital assets pricing model</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Finance</subfield><subfield code="x">Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Capital-Asset-Pricing-Modell</subfield><subfield code="2">gnd</subfield><subfield code="0">http://d-nb.info/gnd/4121078-5</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Kapitalmarkt</subfield><subfield code="2">gnd</subfield><subfield code="0">http://d-nb.info/gnd/4029578-3</subfield></datafield><datafield tag="758" ind1=" " ind2=" "><subfield code="i">has work:</subfield><subfield code="a">Asset price dynamics, volatility, and prediction (Text)</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PCFXgdtFqdPvm9bfyjqpRTd</subfield><subfield code="4">https://id.oclc.org/worldcat/ontology/hasWork</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Print version:</subfield><subfield code="a">Taylor, Stephen (Stephen J.).</subfield><subfield code="t">Asset price dynamics, volatility, and prediction.</subfield><subfield code="d">Princeton, N.J. : Princeton University Press, 2007, ©2005</subfield><subfield code="z">9780691134796</subfield><subfield code="w">(OCoLC)154694663</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="l">FWS01</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FWS_PDA_EBA</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=356025</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">Askews and Holts Library Services</subfield><subfield code="b">ASKH</subfield><subfield code="n">AH26387951</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ProQuest Ebook Central</subfield><subfield code="b">EBLB</subfield><subfield code="n">EBL664610</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ebrary</subfield><subfield code="b">EBRY</subfield><subfield code="n">ebr10447296</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">EBSCOhost</subfield><subfield code="b">EBSC</subfield><subfield code="n">356025</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">YBP Library Services</subfield><subfield code="b">YANK</subfield><subfield code="n">3626233</subfield></datafield><datafield tag="994" ind1=" " ind2=" "><subfield code="a">92</subfield><subfield code="b">GEBAY</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBA</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-863</subfield></datafield></record></collection> |
| id | ZDB-4-EBA-ocn705944547 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:17:43Z |
| institution | BVB |
| isbn | 9781400839254 1400839254 128299204X 9781282992047 9786612992049 6612992042 |
| language | English |
| oclc_num | 705944547 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xv, 525 pages) : illustrations |
| psigel | ZDB-4-EBA |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Princeton University Press, |
| record_format | marc |
| spelling | Taylor, Stephen (Stephen J.), author. https://id.oclc.org/worldcat/entity/E39PCjDHm786kGWcGkVrgJJp4C http://id.loc.gov/authorities/names/n85369225 Asset price dynamics, volatility, and prediction / Stephen J. Taylor. Princeton, N.J. : Princeton University Press, 2007, ©2005. 1 online resource (xv, 525 pages) : illustrations text txt rdacontent computer c rdamedia online resource 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. Print version record. English. Capital assets pricing model. http://id.loc.gov/authorities/subjects/sh85019932 Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Modèle d'évaluation des actifs financiers. Finances Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS Econometrics. bisacsh Capital assets pricing model fast Finance Mathematical models fast Capital-Asset-Pricing-Modell gnd http://d-nb.info/gnd/4121078-5 Kapitalmarkt gnd http://d-nb.info/gnd/4029578-3 has work: Asset price dynamics, volatility, and prediction (Text) https://id.oclc.org/worldcat/entity/E39PCFXgdtFqdPvm9bfyjqpRTd https://id.oclc.org/worldcat/ontology/hasWork Print version: Taylor, Stephen (Stephen J.). Asset price dynamics, volatility, and prediction. Princeton, N.J. : Princeton University Press, 2007, ©2005 9780691134796 (OCoLC)154694663 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=356025 Volltext |
| spellingShingle | Taylor, Stephen (Stephen J.) Asset price dynamics, volatility, and prediction / 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. Capital assets pricing model. http://id.loc.gov/authorities/subjects/sh85019932 Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Modèle d'évaluation des actifs financiers. Finances Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS Econometrics. bisacsh Capital assets pricing model fast Finance Mathematical models fast Capital-Asset-Pricing-Modell gnd http://d-nb.info/gnd/4121078-5 Kapitalmarkt gnd http://d-nb.info/gnd/4029578-3 |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85019932 http://id.loc.gov/authorities/subjects/sh85048260 http://d-nb.info/gnd/4121078-5 http://d-nb.info/gnd/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 assets pricing model. http://id.loc.gov/authorities/subjects/sh85019932 Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Modèle d'évaluation des actifs financiers. Finances Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS Econometrics. bisacsh Capital assets pricing model fast Finance Mathematical models fast Capital-Asset-Pricing-Modell gnd http://d-nb.info/gnd/4121078-5 Kapitalmarkt gnd http://d-nb.info/gnd/4029578-3 |
| topic_facet | Capital assets pricing model. Finance Mathematical models. Modèle d'évaluation des actifs financiers. Finances Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. BUSINESS & ECONOMICS Econometrics. Capital assets pricing model Finance Mathematical models Capital-Asset-Pricing-Modell Kapitalmarkt |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=356025 |
| work_keys_str_mv | AT taylorstephen assetpricedynamicsvolatilityandprediction |