Articles liés à Forecasting Volatility in the Financial Markets
Synopsis
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
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
Présentation de l'éditeur
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
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
- ÉditeurButterworth-Heinemann
- Date d'édition2014
- ISBN 10 0080976212
- ISBN 13 9780080976211
- ReliureBroché
- Langueanglais
- Nombre de pages428
- ÉditeurSatchell Stephen
- Coordonnées du fabricantnon disponible
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Forecasting Volatility in the Financial Markets
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Paperback. Etat : Brand New. 428 pages. 9.10x6.39x0.97 inches. In Stock. N° de réf. du vendeur zk0080976212
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