The Resource Asset price dynamics, volatility, and prediction, Stephen J. Taylor, (electronic resource)

Asset price dynamics, volatility, and prediction, Stephen J. Taylor, (electronic resource)

Label
Asset price dynamics, volatility, and prediction
Title
Asset price dynamics, volatility, and prediction
Statement of responsibility
Stephen J. Taylor
Creator
Contributor
Provider
Subject
Genre
Language
eng
Summary
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance
Cataloging source
N$T
http://library.link/vocab/creatorName
Taylor, Stephen
Illustrations
illustrations
Index
index present
LC call number
HG4636
LC item number
.T348 2007eb
Literary form
non fiction
Nature of contents
  • standards specifications
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
ebrary
http://library.link/vocab/subjectName
  • Capital assets pricing model
  • Finance
  • Business
  • BUSINESS & ECONOMICS
  • BUSINESS & ECONOMICS
  • Capital assets pricing model
  • Finance
  • Capital-Asset-Pricing-Modell
  • Kapitalmarkt
Label
Asset price dynamics, volatility, and prediction, Stephen J. Taylor, (electronic resource)
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. [473]-501) and indexes
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
I. Foundations. Prices and returns ; Stochastic processes : definitions and examples ; Stylized facts for financial returns -- II. Conditional expected returns. The variance-ratio test of the random walk hypothesis ; Further tests of the random walk hypothesis ; Trading rules and market efficiency -- III. Volatility processes. An introduction to volatility ; ARCH models : definitions and examples ; ARCH models : selection and likelihood methods ; Stochastic volatility models -- IV. High-frequency methods. High-frequency data and models -- V. Inferences from option prices. Continuous-time stochastic processes ; Option pricing formulae ; Forecasting volatility ; Density prediction for asset prices
Dimensions
unknown
Extent
1 online resource (xv, 525 pages)
Form of item
electronic
Isbn
9781400839254
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations
Specific material designation
remote
Stock number
22573/cttw13h
System control number
  • (OCoLC)705944547
  • (OCoLC)ocn705944547
Label
Asset price dynamics, volatility, and prediction, Stephen J. Taylor, (electronic resource)
Publication
Bibliography note
Includes bibliographical references (p. [473]-501) and indexes
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
I. Foundations. Prices and returns ; Stochastic processes : definitions and examples ; Stylized facts for financial returns -- II. Conditional expected returns. The variance-ratio test of the random walk hypothesis ; Further tests of the random walk hypothesis ; Trading rules and market efficiency -- III. Volatility processes. An introduction to volatility ; ARCH models : definitions and examples ; ARCH models : selection and likelihood methods ; Stochastic volatility models -- IV. High-frequency methods. High-frequency data and models -- V. Inferences from option prices. Continuous-time stochastic processes ; Option pricing formulae ; Forecasting volatility ; Density prediction for asset prices
Dimensions
unknown
Extent
1 online resource (xv, 525 pages)
Form of item
electronic
Isbn
9781400839254
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations
Specific material designation
remote
Stock number
22573/cttw13h
System control number
  • (OCoLC)705944547
  • (OCoLC)ocn705944547

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