LEADER 04617nam 2200733Ia 450 001 9910458979403321 005 20200520144314.0 010 $a1-282-99204-X 010 $a9786612992049 010 $a1-4008-3925-4 024 7 $a10.1515/9781400839254 035 $a(CKB)2560000000058803 035 $a(EBL)664610 035 $a(OCoLC)705944547 035 $a(SSID)ssj0001514754 035 $a(PQKBManifestationID)12498494 035 $a(PQKBTitleCode)TC0001514754 035 $a(PQKBWorkID)11480293 035 $a(PQKB)10021645 035 $a(SSID)ssj0000467064 035 $a(PQKBManifestationID)11324825 035 $a(PQKBTitleCode)TC0000467064 035 $a(PQKBWorkID)10489338 035 $a(PQKB)11480133 035 $a(MiAaPQ)EBC664610 035 $a(OCoLC)813288894 035 $a(MdBmJHUP)muse36951 035 $a(DE-B1597)446717 035 $a(OCoLC)979749813 035 $a(DE-B1597)9781400839254 035 $a(Au-PeEL)EBL664610 035 $a(CaPaEBR)ebr10447296 035 $a(CaONFJC)MIL299204 035 $a(EXLCZ)992560000000058803 100 $a20070426h20072005 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aAsset price dynamics, volatility, and prediction$b[electronic resource] /$fStephen J. Taylor 205 $aCourse Book 210 $aPrinceton, N.J. $cPrinceton University Press$d2007, c2005 215 $a1 online resource (988 p.) 300 $aDescription based upon print version of record. 311 $a0-691-11537-0 311 $a0-691-13479-0 320 $aIncludes bibliographical references (p. [473]-501) and indexes. 327 $t Frontmatter -- $tContents -- $tPreface -- $t1. Introduction -- $tPart I. Foundations -- $t2. Prices and Returns -- $t3. Stochastic Processes: Definitions and Examples -- $t4. Stylized Facts for Financial Returns -- $tPart II. Conditional Expected Returns -- $t5. The Variance-Ratio Test of the RandomWalk Hypothesis -- $t6. Further Tests of the RandomWalk Hypothesis -- $t7. Trading Rules and Market Efficiency -- $tPart III. Volatility Processes -- $t8. An Introduction to Volatility -- $t9. ARCH Models: Definitions and Examples -- $t10. ARCH Models: Selection and Likelihood Methods -- $t11. Stochastic Volatility Models -- $tPart IV. High-Frequency Methods -- $t12. High-Frequency Data and Models -- $tPart V. Inferences from Option Prices -- $t13. Continuous-Time Stochastic Processes -- $t14. Option Pricing Formulae -- $t15. Forecasting Volatility -- $t16. Density Prediction for Asset Prices -- $tSymbols -- $tReferences -- $tAuthor Index -- $tSubject Index 330 $aThis 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. 606 $aCapital assets pricing model 606 $aFinance$xMathematical models 608 $aElectronic books. 615 0$aCapital assets pricing model. 615 0$aFinance$xMathematical models. 676 $a332.60151962 700 $aTaylor$b Stephen$g(Stephen J.)$0372606 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910458979403321 996 $aAsset price dynamics, volatility, and prediction$92457633 997 $aUNINA