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...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Princeton, N.J. :
Princeton University Press,
2007, ©2005.
|
| Subjects: | |
| Online Access: | Connect to this title online (unlimited users allowed) |
Table of 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.