Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor |
Autore | Taylor Stephen (Stephen J.) |
Edizione | [Course Book] |
Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 2007, c2005 |
Descrizione fisica | 1 online resource (988 p.) |
Disciplina | 332.60151962 |
Soggetto topico |
Capital assets pricing model
Finance - Mathematical models |
Soggetto genere / forma | Electronic books. |
ISBN |
1-282-99204-X
9786612992049 1-4008-3925-4 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Frontmatter -- Contents -- Preface -- 1. Introduction -- Part I. Foundations -- 2. Prices and Returns -- 3. Stochastic Processes: Definitions and Examples -- 4. Stylized Facts for Financial Returns -- Part II. Conditional Expected Returns -- 5. The Variance-Ratio Test of the RandomWalk Hypothesis -- 6. Further Tests of the RandomWalk Hypothesis -- 7. Trading Rules and Market Efficiency -- Part III. Volatility Processes -- 8. An Introduction to Volatility -- 9. ARCH Models: Definitions and Examples -- 10. ARCH Models: Selection and Likelihood Methods -- 11. Stochastic Volatility Models -- Part IV. High-Frequency Methods -- 12. High-Frequency Data and Models -- Part V. Inferences from Option Prices -- 13. Continuous-Time Stochastic Processes -- 14. Option Pricing Formulae -- 15. Forecasting Volatility -- 16. Density Prediction for Asset Prices -- Symbols -- References -- Author Index -- Subject Index |
Record Nr. | UNINA-9910458979403321 |
Taylor Stephen (Stephen J.)
![]() |
||
Princeton, N.J., : Princeton University Press, 2007, c2005 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor |
Autore | Taylor Stephen (Stephen J.) |
Edizione | [Course Book] |
Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 2007, c2005 |
Descrizione fisica | 1 online resource (988 p.) |
Disciplina | 332.60151962 |
Soggetto topico |
Capital assets pricing model
Finance - Mathematical models |
ISBN |
1-282-99204-X
9786612992049 1-4008-3925-4 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Frontmatter -- Contents -- Preface -- 1. Introduction -- Part I. Foundations -- 2. Prices and Returns -- 3. Stochastic Processes: Definitions and Examples -- 4. Stylized Facts for Financial Returns -- Part II. Conditional Expected Returns -- 5. The Variance-Ratio Test of the RandomWalk Hypothesis -- 6. Further Tests of the RandomWalk Hypothesis -- 7. Trading Rules and Market Efficiency -- Part III. Volatility Processes -- 8. An Introduction to Volatility -- 9. ARCH Models: Definitions and Examples -- 10. ARCH Models: Selection and Likelihood Methods -- 11. Stochastic Volatility Models -- Part IV. High-Frequency Methods -- 12. High-Frequency Data and Models -- Part V. Inferences from Option Prices -- 13. Continuous-Time Stochastic Processes -- 14. Option Pricing Formulae -- 15. Forecasting Volatility -- 16. Density Prediction for Asset Prices -- Symbols -- References -- Author Index -- Subject Index |
Record Nr. | UNINA-9910791867203321 |
Taylor Stephen (Stephen J.)
![]() |
||
Princeton, N.J., : Princeton University Press, 2007, c2005 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor |
Autore | Taylor Stephen (Stephen J.) |
Edizione | [Course Book] |
Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 2007, c2005 |
Descrizione fisica | 1 online resource (988 p.) |
Disciplina | 332.60151962 |
Soggetto topico |
Capital assets pricing model
Finance - Mathematical models |
ISBN |
1-282-99204-X
9786612992049 1-4008-3925-4 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Frontmatter -- Contents -- Preface -- 1. Introduction -- Part I. Foundations -- 2. Prices and Returns -- 3. Stochastic Processes: Definitions and Examples -- 4. Stylized Facts for Financial Returns -- Part II. Conditional Expected Returns -- 5. The Variance-Ratio Test of the RandomWalk Hypothesis -- 6. Further Tests of the RandomWalk Hypothesis -- 7. Trading Rules and Market Efficiency -- Part III. Volatility Processes -- 8. An Introduction to Volatility -- 9. ARCH Models: Definitions and Examples -- 10. ARCH Models: Selection and Likelihood Methods -- 11. Stochastic Volatility Models -- Part IV. High-Frequency Methods -- 12. High-Frequency Data and Models -- Part V. Inferences from Option Prices -- 13. Continuous-Time Stochastic Processes -- 14. Option Pricing Formulae -- 15. Forecasting Volatility -- 16. Density Prediction for Asset Prices -- Symbols -- References -- Author Index -- Subject Index |
Record Nr. | UNINA-9910807815503321 |
Taylor Stephen (Stephen J.)
![]() |
||
Princeton, N.J., : Princeton University Press, 2007, c2005 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Modelling financial time series [[electronic resource] /] / Stephen J Taylor |
Autore | Taylor Stephen (Stephen J.) |
Edizione | [2nd ed.] |
Pubbl/distr/stampa | New Jersey, : World Scientific, c2008 |
Descrizione fisica | 1 online resource (297 p.) |
Disciplina | 332.63/222011 |
Soggetto topico |
Stocks - Prices - Mathematical models
Commodity exchanges - Mathematical models Financial futures - Mathematical models Time-series analysis |
Soggetto genere / forma | Electronic books. |
ISBN |
1-281-91161-5
9786611911614 981-277-085-2 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | 1. Introduction -- 2. Features of financial returns -- 3. Modelling price volatility -- 4. Forecasting standard deviations -- 5. The accuracy of autocorrelation estimates -- 6. Testing the random walk hypothesis -- 7. Forecasting trends in prices -- 8. Evidence against the efficiency of future markets -- 9. Valuing options -- 10. Concluding remarks. |
Record Nr. | UNINA-9910458071803321 |
Taylor Stephen (Stephen J.)
![]() |
||
New Jersey, : World Scientific, c2008 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Modelling financial time series [[electronic resource] /] / Stephen J Taylor |
Autore | Taylor Stephen (Stephen J.) |
Edizione | [2nd ed.] |
Pubbl/distr/stampa | New Jersey, : World Scientific, c2008 |
Descrizione fisica | 1 online resource (297 p.) |
Disciplina | 332.63/222011 |
Soggetto topico |
Stocks - Prices - Mathematical models
Commodity exchanges - Mathematical models Financial futures - Mathematical models Time-series analysis |
ISBN |
1-281-91161-5
9786611911614 981-277-085-2 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | 1. Introduction -- 2. Features of financial returns -- 3. Modelling price volatility -- 4. Forecasting standard deviations -- 5. The accuracy of autocorrelation estimates -- 6. Testing the random walk hypothesis -- 7. Forecasting trends in prices -- 8. Evidence against the efficiency of future markets -- 9. Valuing options -- 10. Concluding remarks. |
Record Nr. | UNINA-9910784886503321 |
Taylor Stephen (Stephen J.)
![]() |
||
New Jersey, : World Scientific, c2008 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Modelling financial time series [[electronic resource] /] / Stephen J Taylor |
Autore | Taylor Stephen (Stephen J.) |
Edizione | [2nd ed.] |
Pubbl/distr/stampa | New Jersey, : World Scientific, c2008 |
Descrizione fisica | 1 online resource (297 p.) |
Disciplina | 332.63/222011 |
Soggetto topico |
Stocks - Prices - Mathematical models
Commodity exchanges - Mathematical models Financial futures - Mathematical models Time-series analysis |
ISBN |
1-281-91161-5
9786611911614 981-277-085-2 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | 1. Introduction -- 2. Features of financial returns -- 3. Modelling price volatility -- 4. Forecasting standard deviations -- 5. The accuracy of autocorrelation estimates -- 6. Testing the random walk hypothesis -- 7. Forecasting trends in prices -- 8. Evidence against the efficiency of future markets -- 9. Valuing options -- 10. Concluding remarks. |
Record Nr. | UNINA-9910819551603321 |
Taylor Stephen (Stephen J.)
![]() |
||
New Jersey, : World Scientific, c2008 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|