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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 | ||
| ||
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 | ||
| ||
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 | ||
| ||