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Forecasting volatility in the financial markets

紀錄類型:	書目-語言資料,印刷品 : 單行本
其他作者:	KnightJohn L.,
其他作者:	SatchellS.,
其他團體作者:	ScienceDirect (Online service)
出版地:	Amsterdam
出版者:	Butterworth-Heinemann;
出版年:	2007.
版本:	3rd ed.
面頁冊數:	viii, 415 p.ill. : 25 cm.;
集叢名:	Quantitative finance series
標題:	Options (Finance) - Mathematical models. -
標題:	Securities - Prices -
標題:	Stock price forecasting - Mathematical models. -
標題:	Electronic books. -
電子資源:	http://www.sciencedirect.com/science/book/9780750669429
電子資源:	http://www.sciencedirect.com/science/book/9780750669429
附註:	Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008.
摘要註:	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.
ISBN:	075066942X

Forecasting volatility in the financial markets
Forecasting volatility in the financial markets / edited by John Knight, Stephen Satchell. - 3rd ed.. - Amsterdam : Butterworth-Heinemann, 2007.. - viii, 415 p. ; ill. ; 25 cm.. - (Quantitative finance series).
Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008..
Includes bibliographical references and index..
ISBN 075066942XISBN 9780750669429
Options (Finance) Securities Stock price forecasting Electronic books. -- Mathematical models. -- Prices -- Mathematical models.

Knight, John L.

Forecasting volatility in the financial markets
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320 $a Includes bibliographical references and index.
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