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MARC Lista (tabellare)
Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor
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
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor
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
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Asset price dynamics, volatility, and prediction / / Stephen J. Taylor
Asset price dynamics, volatility, and prediction / / 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 9786612992049
9781282992047
128299204X
9781400839254
1400839254
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-9910964527003321
Taylor Stephen (Stephen J.)  
Princeton, N.J., : Princeton University Press, 2007, c2005
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Modelling financial time series [[electronic resource] /] / Stephen J Taylor
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
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Modelling financial time series [[electronic resource] /] / Stephen J Taylor
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
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui