Forecasting Volatility in the Financial Markets
eBook - PDF

Forecasting Volatility in the Financial Markets

  1. 432 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Forecasting Volatility in the Financial Markets

About this book

Forecasting Volatility in the Financial Markets, Third Edition 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

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Yes, you can access Forecasting Volatility in the Financial Markets by Stephen Satchell,John Knight in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Butterworth-Heinemann
Year
2011
Print ISBN
9780750669429
eBook ISBN
9780080471426
Edition
3
Topic
Business
Subtopic
Finance
Index
Business

Table of contents

  1. Front Cover
  2. Forecasting Volatility in the Financial Markets
  3. Copyright Page
  4. Table of Contents
  5. List of contributors
  6. Preface to third edition
  7. Introduction
  8. Chapter 1 Volatility modelling and forecasting in finance
  9. Chapter 2 What good is a volatility model?
  10. Chapter 3 Applications of portfolio variety
  11. Chapter 4 A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices
  12. Chapter 5 An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility
  13. Chapter 6 Stochastic volatility and option pricing
  14. Chapter 7 Modelling slippage: an application to the bund futures contract
  15. Chapter 8 Real trading volume and price action in the foreign exchange markets
  16. Chapter 9 Implied risk-neutral probability density functions from option prices: a central bank perspective
  17. Chapter 10 Hashing GARCH: a reassessment of volatility forecasting performance
  18. Chapter 11 Implied volatility forecasting: a comparison of different procedures including fractionally integrated models with applications to UK equity
  19. Chapter 12 GARCH predictions and the predictions of option prices
  20. Chapter 13 Volatility forecasting in a tick data model
  21. Chapter 14 An econometic model of downside risk
  22. Chapter 15 Variations in the mean and volatility of stock returns around turning points of the business cycle
  23. Chapter 16 Long memory in stochastic volatility
  24. Chapter 17 GARCH processes – some exact results, some difficulties and a suggested remedy
  25. Chapter 18 Generating composite volatility forecasts with random factor betas
  26. Index