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...
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| Other Authors: | , |
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Amsterdam ; Boston :
Butterworth-Heinemann,
[2007]
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| Edition: | Third edition. |
| Series: | Quantitative finance series.
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| Subjects: | |
| Online Access: | Full text (Emerson users only) Full text (Emmanuel users only) Full text (NECO users only) Full text (MCPHS users only) Full text (Wentworth users only) Full text (Wentworth users only) |
| Summary: | 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. |
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| Physical Description: | 1 online resource (viii, 415 pages) : illustrations |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9780750669429 075066942X 9780080471426 0080471420 1280962895 9781280962899 9786610962891 6610962898 |