Forecasting Volatility in the Financial Markets

John Knight, Stephen Satchell (Herausgeber)

Buch | Hardcover

304 Seiten

1998
Butterworth-Heinemann Ltd (Verlag)
978-0-7506-4081-7 (ISBN)

Infos

An aid to understanding the significance of volatility in the financial market, this text details modelling/forecasting techniques and uses a technical survey to define the models of volatility and return and explain the ways to measure risk. Applications in the financial markets are then detailed.

Inhalt

Part 1: understanding volatility and risk; modelling volatility; forecasting volatility; GARCH; stochastic volatility; different measures of risk. Part 2: volatility in the financial markets; using volatility in global tactical asset allocation; volatility in trading strategies; measuring volatility in VAR; riskmetrics treatment of volatility; volatility in risk management; volatility and derivative markets.

Produkt-Details

• Erscheint lt. Verlag: 30.11.1998
• Zusatzinfo: glossary, index
• Verlagsort: Oxford
• Sprache: englisch
• Maße: 156 x 234 mm
• Gewicht: 680 g
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• ISBN-10: 0-7506-4081-2 / 0750640812
• ISBN-13: 978-0-7506-4081-7 / 9780750640817
• Zustand: Neuware