Long-term Equity Anticipation Securities and Stock Market Volatility Dynamics
Author: Tim Bollerslev
Publisher:
Published: 1996
Total Pages: 25
ISBN-13:
DOWNLOAD EBOOKRead and Download eBook Full
Author: Tim Bollerslev
Publisher:
Published: 1996
Total Pages: 25
ISBN-13:
DOWNLOAD EBOOKAuthor: Tim Bollerslev
Publisher:
Published: 1996
Total Pages: 25
ISBN-13:
DOWNLOAD EBOOKAuthor: Greg N. Gregoriou
Publisher: CRC Press
Published: 2009-04-08
Total Pages: 654
ISBN-13: 1420099558
DOWNLOAD EBOOKUp-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author: Christian Conrad
Publisher:
Published: 2012
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Stephen J. Taylor
Publisher: Princeton University Press
Published: 2011-02-11
Total Pages: 544
ISBN-13: 1400839254
DOWNLOAD EBOOKThis 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.
Author: Paul Doukhan
Publisher: Springer Science & Business Media
Published: 2002-12-13
Total Pages: 744
ISBN-13: 9780817641689
DOWNLOAD EBOOKThe area of data analysis has been greatly affected by our computer age. For example, the issue of collecting and storing huge data sets has become quite simplified and has greatly affected such areas as finance and telecommunications. Even non-specialists try to analyze data sets and ask basic questions about their structure. One such question is whether one observes some type of invariance with respect to scale, a question that is closely related to the existence of long-range dependence in the data. This important topic of long-range dependence is the focus of this unique work, written by a number of specialists on the subject. The topics selected should give a good overview from the probabilistic and statistical perspective. Included will be articles on fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, and prediction for long-range dependence sequences. For those graduate students and researchers who want to use the methodology and need to know the "tricks of the trade," there will be a special section called "Mathematical Techniques." Topics in the first part of the book are covered from probabilistic and statistical perspectives and include fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, prediction for long-range dependence sequences. The reader is referred to more detailed proofs if already found in the literature. The last part of the book is devoted to applications in the areas of simulation, estimation and wavelet techniques, traffic in computer networks, econometry and finance, multifractal models, and hydrology. Diagrams and illustrations enhance the presentation. Each article begins with introductory background material and is accessible to mathematicians, a variety of practitioners, and graduate students. The work serves as a state-of-the art reference or graduate seminar text.
Author: Ser-Huang Poon
Publisher: John Wiley & Sons
Published: 2005-08-19
Total Pages: 236
ISBN-13: 0470856157
DOWNLOAD EBOOKFinancial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
Author: Peter Christoffersen
Publisher: Academic Press
Published: 2011-11-10
Total Pages: 344
ISBN-13: 0080922430
DOWNLOAD EBOOKThe Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems. Examines market risk, credit risk, and operational risk Provides exceptional coverage of GARCH models Features online Excel-based empirical exercises
Author: G. Gregoriou
Publisher: Springer
Published: 2006-11-17
Total Pages: 401
ISBN-13: 0230625843
DOWNLOAD EBOOKThis important book brings together an edited series of papers about risk management and the latest developments in the field. Covering topics such as Stochastic Volatility, Risk Dynamics and Portfolio Diversification, this book is vital for optimal portfolio allocation for private and institutional investors, and is an indispensable tool.
Author: G. Elliott
Publisher: Elsevier
Published: 2006-07-14
Total Pages: 1071
ISBN-13: 0444513957
DOWNLOAD EBOOKSection headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.