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Forecasting Volatility in the Financial Markets -

Forecasting Volatility in the Financial Markets (eBook)

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2002 | 2. Auflage
420 Seiten
Elsevier Science (Verlag)
978-0-08-049497-5 (ISBN)
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'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 research and an insight into the cutting edge techniques applied in this field of the financial markets.

This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets.

* Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility.
* Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns.
* Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls.
* Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models.
* Students and academics will find the collection of papers an invaluable overview of this field.

This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure
Current research on the key forecasting methods to use in risk management, including two new chapters
'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 research and an insight into the cutting edge techniques applied in this field of the financial markets.This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets.* Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility.* Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns.* Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls.* Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models.* Students and academics will find the collection of papers an invaluable overview of this field.This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure Current research on the key forecasting methods to use in risk management, including two new chapters

Cover 1
Forecasting Volatility in the Financial Markets 4
Copyright Page 5

List of contributors 8
Preface to second edition 10
Introduction 11
Chapter 1. Volatility modelling in finance 12
Chapter 2. Stochastic volatility and option pricing 58
Chapter 3. Modelling slippage: an application to the bund futures contract 108
Chapter 4. Real trading volume and price action in the foreign exchange markets 128
Chapter 5. Implied risk-neutral probability density functions from option prices: a central bank perspective 148
Chapter 6. Hashing GARCH: a reassessment of volatility forecasting Performance 179
Chapter 7. Implied volatility forecasting: a comparison of different procedures including fractionally integrated models with applications to UK equity options 204
Chapter 8. GARCH predictions and the predictions of option prices 237
Chapter 9. Volatility forecasting in a tick data model 256
Chapter 10. An econometric model of downside risk 262
Chapter 11. Variations in the mean and volatility of stock returns around turning points of the business cycle 298
Chapter 12. Long memory in stochastic volatility 318
Chapter 13. GARCH processes – some exact results, some difficulties and a suggested remedy 332
Chapter 14. Generating composite volatility forecasts with random factor betas 358
Chapter 15. The information content of the FTSE100 index option implied volatility and its structural changes with links to loss aversion 377
Index 409

Erscheint lt. Verlag 22.8.2002
Co-Autor Emmanual Acar, Abdurrahman Aydemir, Shaun Bond, George A. Christodoulakis, Andrew C. Harvey, Soosung Hwang, George Jiang, A. G. Timmermann
Sprache englisch
Themenwelt Sachbuch/Ratgeber
Wirtschaft Betriebswirtschaft / Management Finanzierung
Wirtschaft Betriebswirtschaft / Management Rechnungswesen / Bilanzen
Wirtschaft Betriebswirtschaft / Management Unternehmensführung / Management
Wirtschaft Volkswirtschaftslehre Mikroökonomie
Wirtschaft Volkswirtschaftslehre Ökonometrie
ISBN-10 0-08-049497-8 / 0080494978
ISBN-13 978-0-08-049497-5 / 9780080494975
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