Ebooks Asset Price Dynamics, Volatility, and Prediction

Description Asset Price Dynamics, Volatility, and Prediction

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 theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.

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Asset Price Dynamics, Volatility, and Prediction ~ Asset price dynamics, volatility, and prediction / Stephen J. Taylor. p. cm. Includes bibliographical references and index. ISBN 0-691-11537-0 (alk. paper) 1. Capital assets pricing model. 2. Finance—Mathematical models. I. Title. HG4636.T348 2005 332.6 01 51962—dc22 2005048758 British Library Cataloguing-in-Publication Data

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Asset Price Dynamics, Volatility, and Prediction - Stephen ~ 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 .

Asset Price Dynamics, Volatility, and Prediction ~ The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying .

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Asset Price Dynamics, Volatility, and Prediction: Taylor ~ The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying .

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Asset Price Dynamics, Volatility, and Prediction ~ Asset Price Dynamics, Volatility, and Prediction. PRINCETON UNIVERSITY PRESS 138,95 € / $159.50 / £124 . Free shipping for non-business customers when ordering books at De Gruyter Online. Please find details to our shipping fees . Density Prediction for Asset Prices. Pages 423-466. Get Access to Full Text. Symbols. Pages 467-472. Get .

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