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:
| Weitere Verfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam ; Boston :
Butterworth-Heinemann,
[2007]
|
| Ausgabe: | Third edition. |
| Schriftenreihe: | Quantitative finance series.
|
| Schlagworte: | |
| Online-Zugang: | DE-862 DE-863 DE-862 DE-863 |
| 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: | 1 online resource (viii, 415 pages) : illustrations |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9780750669429 075066942X 9780080471426 0080471420 1280962895 9781280962899 9786610962891 6610962898 |
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| 250 | |a Third edition. | ||
| 264 | 1 | |a Amsterdam ; |a Boston : |b Butterworth-Heinemann, |c [2007] | |
| 264 | 4 | |c ©2007 | |
| 300 | |a 1 online resource (viii, 415 pages) : |b illustrations | ||
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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. | ||
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | 0 | |t Volatility modelling and forecasting in finance / |r Linlan Xiao and Abdurrahman Aydemir -- |t What good is a volatility model? / |r Robert F. Engle and Andrew J. Patton -- |t Applications of portfolio variety / |r Dan diBartolomeo -- |t Comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices / |r Rob Cornish -- |t Investigation of the relative performance of GARCH models versus simple rules in forecasting volatility / |r Thomas A. Silvey -- |t Stochastic volatility and option pricing / |r George J. Jiang -- |t Modelling slippage : an application to the bund futures contract / |r Emmanuel Acar and Edouard Petitdidier -- |t Real trading volume and price action in the foreign exchange markets / |r Pierre Lequeux -- |t Implied risk-neutral probability density functions from option prices : a central bank perspective / |r Bhupinder Bahra -- |t Hashing GARCH : a reassessment of volatility forecasting performance / |r George A. Christodoulakis and Stephen E. Satchell -- |t Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options / |r Soosung Hwang and Stephen E. Satchell -- |t GARCH predictions and the predictions of option prices / |r John Knight and Stephen E. Satchell -- |t Volatility forecasting in a tick data model / |r L.C.G. Rogers -- |t Econometric model of downside risk / |r Shaun Bond -- |t Variations in the mean and volatility of stock returns around turning points of the business cycle / |r Gabriel Perez-Quiros and Allan Timmermann -- |t Long memory in stochastic volatility / |r Andrew C. Harvey -- |t GARCH processes-- some exact results, some difficulties and a suggested remedy / |r John L. Knight and Stephen E. Satchell -- |t Generating composite volatility forecasts with random factor betas / |r George A. Christodoulakis. |
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| 650 | 6 | |a Options (Finances) |x Modèles mathématiques. | |
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| 700 | 1 | |a Knight, John L., |e editor. |0 http://id.loc.gov/authorities/names/no2002028625 | |
| 700 | 1 | |a Satchell, Stephen, |d 1949- |e editor. |1 https://id.oclc.org/worldcat/entity/E39PCjKWtd37brxrCjwFkfMbgq | |
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Datensatz im Suchindex
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| adam_text | |
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| author2 | Knight, John L. Satchell, Stephen, 1949- |
| author2_role | edt edt |
| author2_variant | j l k jl jlk s s ss |
| author_GND | http://id.loc.gov/authorities/names/no2002028625 |
| author_additional | Linlan Xiao and Abdurrahman Aydemir -- Robert F. Engle and Andrew J. Patton -- Dan diBartolomeo -- Rob Cornish -- Thomas A. Silvey -- George J. Jiang -- Emmanuel Acar and Edouard Petitdidier -- Pierre Lequeux -- Bhupinder Bahra -- George A. Christodoulakis and Stephen E. Satchell -- Soosung Hwang and Stephen E. Satchell -- John Knight and Stephen E. Satchell -- L.C.G. Rogers -- Shaun Bond -- Gabriel Perez-Quiros and Allan Timmermann -- Andrew C. Harvey -- John L. Knight and Stephen E. Satchell -- George A. Christodoulakis. |
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| contents | Volatility modelling and forecasting in finance / What good is a volatility model? / Applications of portfolio variety / Comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices / Investigation of the relative performance of GARCH models versus simple rules in forecasting volatility / Stochastic volatility and option pricing / Modelling slippage : an application to the bund futures contract / Real trading volume and price action in the foreign exchange markets / Implied risk-neutral probability density functions from option prices : a central bank perspective / Hashing GARCH : a reassessment of volatility forecasting performance / Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options / GARCH predictions and the predictions of option prices / Volatility forecasting in a tick data model / Econometric model of downside risk / Variations in the mean and volatility of stock returns around turning points of the business cycle / Long memory in stochastic volatility / GARCH processes-- some exact results, some difficulties and a suggested remedy / Generating composite volatility forecasts with random factor betas / |
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| discipline | Wirtschaftswissenschaften |
| edition | Third edition. |
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| genre_facet | dissertations. Academic theses Academic theses. Thèses et écrits académiques. |
| id | ZDB-4-EBU-ocn213298555 |
| illustrated | Illustrated |
| indexdate | 2025-03-18T14:27:32Z |
| institution | BVB |
| isbn | 9780750669429 075066942X 9780080471426 0080471420 1280962895 9781280962899 9786610962891 6610962898 |
| language | English |
| oclc_num | 213298555 |
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| physical | 1 online resource (viii, 415 pages) : illustrations |
| psigel | ZDB-4-EBU FWS_PDA_EBU ZDB-4-EBU |
| publishDate | 2007 |
| publishDateSearch | 2007 |
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| publisher | Butterworth-Heinemann, |
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| series | Quantitative finance series. |
| series2 | Quantitative finance series |
| spelling | Forecasting volatility in the financial markets / edited by John Knight, Stephen Satchell. Third edition. Amsterdam ; Boston : Butterworth-Heinemann, [2007] ©2007 1 online resource (viii, 415 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 text file rdaft http://rdaregistry.info/termList/fileType/1002 Quantitative finance series 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. Includes bibliographical references and index. Volatility modelling and forecasting in finance / Linlan Xiao and Abdurrahman Aydemir -- What good is a volatility model? / Robert F. Engle and Andrew J. Patton -- Applications of portfolio variety / Dan diBartolomeo -- Comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices / Rob Cornish -- Investigation of the relative performance of GARCH models versus simple rules in forecasting volatility / Thomas A. Silvey -- Stochastic volatility and option pricing / George J. Jiang -- Modelling slippage : an application to the bund futures contract / Emmanuel Acar and Edouard Petitdidier -- Real trading volume and price action in the foreign exchange markets / Pierre Lequeux -- Implied risk-neutral probability density functions from option prices : a central bank perspective / Bhupinder Bahra -- Hashing GARCH : a reassessment of volatility forecasting performance / George A. Christodoulakis and Stephen E. Satchell -- Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options / Soosung Hwang and Stephen E. Satchell -- GARCH predictions and the predictions of option prices / John Knight and Stephen E. Satchell -- Volatility forecasting in a tick data model / L.C.G. Rogers -- Econometric model of downside risk / Shaun Bond -- Variations in the mean and volatility of stock returns around turning points of the business cycle / Gabriel Perez-Quiros and Allan Timmermann -- Long memory in stochastic volatility / Andrew C. Harvey -- GARCH processes-- some exact results, some difficulties and a suggested remedy / John L. Knight and Stephen E. Satchell -- Generating composite volatility forecasts with random factor betas / George A. Christodoulakis. Print version record. English. Options (Finance) Mathematical models. Securities Prices Mathematical models. Stock price forecasting Mathematical models. Options (Finances) Modèles mathématiques. Valeurs mobilières Prix Modèles mathématiques. Actions (Titres de société) Prix Prévision Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Options (Finance) Mathematical models fast Securities Prices Mathematical models fast Stock price forecasting Mathematical models fast Voorspellingen. gtt Financiële instellingen. gtt Risicoanalyse. gtt dissertations. aat Academic theses fast Academic theses. lcgft http://id.loc.gov/authorities/genreForms/gf2014026039 Thèses et écrits académiques. rvmgf Knight, John L., editor. http://id.loc.gov/authorities/names/no2002028625 Satchell, Stephen, 1949- editor. https://id.oclc.org/worldcat/entity/E39PCjKWtd37brxrCjwFkfMbgq Print version: Forecasting volatility in the financial markets. 3rd ed. Amsterdam ; Boston : Butterworth-Heinemann, 2007 9780750669429 075066942X (DLC) 2007278282 (OCoLC)173502876 Quantitative finance series. http://id.loc.gov/authorities/names/no2001010280 |
| spellingShingle | Forecasting volatility in the financial markets / Quantitative finance series. Volatility modelling and forecasting in finance / What good is a volatility model? / Applications of portfolio variety / Comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices / Investigation of the relative performance of GARCH models versus simple rules in forecasting volatility / Stochastic volatility and option pricing / Modelling slippage : an application to the bund futures contract / Real trading volume and price action in the foreign exchange markets / Implied risk-neutral probability density functions from option prices : a central bank perspective / Hashing GARCH : a reassessment of volatility forecasting performance / Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options / GARCH predictions and the predictions of option prices / Volatility forecasting in a tick data model / Econometric model of downside risk / Variations in the mean and volatility of stock returns around turning points of the business cycle / Long memory in stochastic volatility / GARCH processes-- some exact results, some difficulties and a suggested remedy / Generating composite volatility forecasts with random factor betas / Options (Finance) Mathematical models. Securities Prices Mathematical models. Stock price forecasting Mathematical models. Options (Finances) Modèles mathématiques. Valeurs mobilières Prix Modèles mathématiques. Actions (Titres de société) Prix Prévision Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Options (Finance) Mathematical models fast Securities Prices Mathematical models fast Stock price forecasting Mathematical models fast Voorspellingen. gtt Financiële instellingen. gtt Risicoanalyse. gtt |
| subject_GND | http://id.loc.gov/authorities/genreForms/gf2014026039 |
| title | Forecasting volatility in the financial markets / |
| title_alt | Volatility modelling and forecasting in finance / What good is a volatility model? / Applications of portfolio variety / Comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices / Investigation of the relative performance of GARCH models versus simple rules in forecasting volatility / Stochastic volatility and option pricing / Modelling slippage : an application to the bund futures contract / Real trading volume and price action in the foreign exchange markets / Implied risk-neutral probability density functions from option prices : a central bank perspective / Hashing GARCH : a reassessment of volatility forecasting performance / Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options / GARCH predictions and the predictions of option prices / Volatility forecasting in a tick data model / Econometric model of downside risk / Variations in the mean and volatility of stock returns around turning points of the business cycle / Long memory in stochastic volatility / GARCH processes-- some exact results, some difficulties and a suggested remedy / Generating composite volatility forecasts with random factor betas / |
| 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 / edited by John Knight, Stephen Satchell. |
| title_fullStr | Forecasting volatility in the financial markets / edited by John Knight, Stephen Satchell. |
| title_full_unstemmed | Forecasting volatility in the financial markets / edited by John Knight, Stephen Satchell. |
| 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. Options (Finances) Modèles mathématiques. Valeurs mobilières Prix Modèles mathématiques. Actions (Titres de société) Prix Prévision Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Options (Finance) Mathematical models fast Securities Prices Mathematical models fast Stock price forecasting Mathematical models fast Voorspellingen. gtt Financiële instellingen. gtt Risicoanalyse. gtt |
| topic_facet | Options (Finance) Mathematical models. Securities Prices Mathematical models. Stock price forecasting Mathematical models. Options (Finances) Modèles mathématiques. Valeurs mobilières Prix Modèles mathématiques. Actions (Titres de société) Prix Prévision Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. Options (Finance) Mathematical models Securities Prices Mathematical models Stock price forecasting Mathematical models Voorspellingen. Financiële instellingen. Risicoanalyse. dissertations. Academic theses Academic theses. Thèses et écrits académiques. |
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