Forecasting Volatility in the Financial Markets

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

Produk Detail:

  • Author : Stephen Satchell
  • Publisher : Elsevier
  • Pages : 432 pages
  • ISBN : 0080471420
  • Rating : 4/5 from 21 reviews
CLICK HERE TO GET THIS BOOKForecasting Volatility in the Financial Markets

Forecasting Volatility in the Financial Markets

Forecasting Volatility in the Financial Markets
  • Author : Stephen Satchell,John Knight
  • Publisher : Elsevier
  • Release : 24 February 2011
GET THIS BOOKForecasting Volatility in the Financial Markets

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

Forecasting Volatility in the Financial Markets

Forecasting Volatility in the Financial Markets
  • Author : John L. Knight,John Knight,Stephen Satchell
  • Publisher : Butterworth-Heinemann
  • Release : 28 October 1998
GET THIS BOOKForecasting Volatility in the Financial Markets

With contributions from leading academics and professional experts, this book is required reading for anyone who needs to understand the significance and impact of volatility in the financial markets. Its key features include a description of how to understand, model and forecast volatility; applications in investment management, trading strategies and financial engineering; and current research on the key forecasting methods to use in risk management.

Forecasting Volatility in the Financial Markets

Forecasting Volatility in the Financial Markets
  • Author : John Knight,John L. Knight,Stephen Satchell
  • Publisher : Butterworth-Heinemann
  • Release : 28 October 2021
GET THIS BOOKForecasting Volatility in the Financial Markets

'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 then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return. The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and

A Practical Guide to Forecasting Financial Market Volatility

A Practical Guide to Forecasting Financial Market Volatility
  • Author : Ser-Huang Poon
  • Publisher : John Wiley & Sons
  • Release : 19 August 2005
GET THIS BOOKA Practical Guide to Forecasting Financial Market Volatility

Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided

Forecasting Expected Returns in the Financial Markets

Forecasting Expected Returns in the Financial Markets
  • Author : Stephen Satchell
  • Publisher : Elsevier
  • Release : 08 April 2011
GET THIS BOOKForecasting Expected Returns in the Financial Markets

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both

Financial Risk Forecasting

Financial Risk Forecasting
  • Author : Jon Danielsson
  • Publisher : John Wiley & Sons
  • Release : 20 April 2011
GET THIS BOOKFinancial Risk Forecasting

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear

Forecasting the Volatility of Stock Market and Oil Futures Market

Forecasting the Volatility of Stock Market and Oil Futures Market
  • Author : Dexiang Mei,Feng Ma
  • Publisher : Scientific Research Publishing, Inc. USA
  • Release : 17 December 2020
GET THIS BOOKForecasting the Volatility of Stock Market and Oil Futures Market

The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.

Stock Market Volatility

Stock Market Volatility
  • Author : Greg N. Gregoriou
  • Publisher : CRC Press
  • Release : 08 April 2009
GET THIS BOOKStock Market Volatility

Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in developed, emerging, and frontier economies. The expert contributors cover stock market volatility modeling, portfolio management, hedge fund volatility, and volatility in developed countries and emerging markets. They

Forecasting Volatility in the Financial Markets

Forecasting Volatility in the Financial Markets
  • Author : Stephen Satchell,John Knight
  • Publisher : Elsevier
  • Release : 22 August 2002
GET THIS BOOKForecasting Volatility in the Financial Markets

'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 then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return. The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and

Empirical Studies on Volatility in International Stock Markets

Empirical Studies on Volatility in International Stock Markets
  • Author : Eugenie M.J.H. Hol
  • Publisher : Springer Science & Business Media
  • Release : 09 March 2013
GET THIS BOOKEmpirical Studies on Volatility in International Stock Markets

Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and

An Analysis of Price Volatility, Trading Volume and Market Depth of Stock Futures Market in India

An Analysis of Price Volatility, Trading Volume and Market Depth of Stock Futures Market in India
  • Author : Srinivasan Kaliyaperumal
  • Publisher : GRIN Verlag
  • Release : 13 March 2018
GET THIS BOOKAn Analysis of Price Volatility, Trading Volume and Market Depth of Stock Futures Market in India

Project Report from the year 2010 in the subject Business economics - Investment and Finance, , course: Ph. D, language: English, abstract: Every modern economy is based on a sound financial system and acts as a monetary channel for productive purpose with effecting economic growth. It encourages saving habit by throwing open and plethora of instrument avenues suiting to the individuals requirements, mobilizing savings from households and other segments and allocating savings into productive usage such as trade, commerce, manufacture etc. Thus

Volatility and Correlation

Volatility and Correlation
  • Author : Riccardo Rebonato
  • Publisher : John Wiley & Sons
  • Release : 08 July 2005
GET THIS BOOKVolatility and Correlation

In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to

Intelligent Data Engineering and Automated Learning - IDEAL 2004

Intelligent Data Engineering and Automated Learning - IDEAL 2004
  • Author : Zhen Rong Yang,Richard Everson,Hujun Yin
  • Publisher : Springer
  • Release : 29 October 2004
GET THIS BOOKIntelligent Data Engineering and Automated Learning - IDEAL 2004

This book constitutes the refereed proceedings of the 5th International Conference on Intelligent Data Engineering and Automated Learning, IDEAL 2004, held in Exeter, UK, in August 2004. The 124 revised full papers presented were carefully reviewed and selected from 272 submissions. The papers are organized in topical sections on bioinformatics, data mining and knowledge engineering, learning algorithms and systems, financial engineering, and agent technologies.

Modelling Volatility in Financial Markets

Modelling Volatility in Financial Markets
  • Author : Chun Liu
  • Publisher : Unknown Publisher
  • Release : 28 October 2021
GET THIS BOOKModelling Volatility in Financial Markets

In this thesis, I study the dynamics of the volatility process and focus on estimation and forecasting. Recent research uses high frequency intraday data to construct ex post measures of daily volatility including realized volatility (RV). Chapter 1 is the introduction. In Chapter 2, I use a Bayesian approach to investigate the evidence for structural breaks in reduced form time-series models of RV. I focus on the popular heterogeneous autoregressive (HAR) models of the logarithm of realized volatility. Using Monte Carlo simulations