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Book by Satchell Stephen Knight John
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Présentation de l'éditeur :
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
Biographie de l'auteur :
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
Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.
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- ÉditeurButterworth-Heinemann Ltd
- Date d'édition2007
- ISBN 10 075066942X
- ISBN 13 9780750669429
- ReliureRelié
- Numéro d'édition3
- Nombre de pages432
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état : Très bonFirst Edition thus. Forecasting... En savoir plus sur cette édition
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Forecasting Volatility in the Financial Markets
Edité par
Butterworth-Heinemann
(2007)
ISBN 10 : 075066942X
ISBN 13 : 9780750669429
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Description du livre Hardcover. Etat : Fine. First Edition. First Edition thus. Forecasting Volatility in the Financial Markets by Stephen Satchell; John Knight. Published by Butterworth-Heinemann in 2007. Hardcover ISBN:9780750669429. Collectible item in very fine condition. N° de réf. du vendeur 0750669429
Acheter D'occasion
EUR 99
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