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Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 3 : essays in microstructure in honor of David K. Whitcomb / / editors, Ivan E. Brick, Tavy Ronen, Cheng-Few Lee
| Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 3 : essays in microstructure in honor of David K. Whitcomb / / editors, Ivan E. Brick, Tavy Ronen, Cheng-Few Lee |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (269 p.) |
| Disciplina | 332.632 |
| Altri autori (Persone) |
WhitcombDavid K
BrickIvan E RonenTavy LeeCheng F |
| Collana | Advances in Quantitative Analysis of Finance & Accounting |
| Soggetto topico |
Stock exchanges - Mathematical models
Securities - Prices - Mathematical models Liquidity (Economics) - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-90910-6
9786611909109 981-270-729-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface to Volume 3; Contents; Introduction to Volume 3 Ivan E. Brick, Tavy Ronen; List of Contributors; Section I - Economics of Limit Orders; Chapter 1 Discriminatory Limit Order Books, Uniform Price Clearing and Optimality Lawrence R. Glosten; 1. Introduction; 2. The Economic Setting; 3. Optimum Terms of Trade; 4. Discriminatory CLOB and Uniform Price Clearing; 4.1. CLOB; 4.2. Uniform price clearing; 4.3. Welfare analysis; 5. Discussion; 6. Conclusion; Acknowledgments; References
Chapter 2 Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice Mark Coppejans, Ian Domowitz, Ananth Madhavan1. Introduction; 2. Theory; 2.1. Model framework; 2.2. Liquidity dynamics; 3. Empirical Results; 3.1. Institutional details; 3.2. Data; 3.3. Liquidity metrics; 3.4. Realized price impact costs; 4. Dynamics of Liquidity; 4.1. Identification; 4.2. Specification and estimation of market liquidity dynamics; 4.3. Impulse response functions; 4.4. The dynamic relationship between liquidity and volatility; 5. Practical Issues; 5.1. Institutional trading 5.2. Optimal trading strategies5.3. Market structure, trading protocols, and resiliency; 6. Conclusion; Acknowledgments; References; Chapter 3 Notes for a Contingent Claims Theory of Limit Order Markets Bruce N. Lehmann; 1. Introduction; 2. Limit Orders as Order Flow Derivatives; 3. Limit Order Valuation and Order Flow Bets; 4. Limit Order Book Dynamics; 5. Conclusion; Acknowledgments; References; Chapter 4 The Option Value of the Limit Order Book Alex Frino, Elvis Jarnecic, Thomas H. McInish; 1. Introduction; 2. The ASX Market Structure; 3. Data and Methodology 3.1. Databases and sample selection3.2. Reconstruction of the limit order schedule; 3.3. Calculation of variables and the option value of a limit order; 3.4. The limit order schedule and its option value; 4. Empirical Results; 4.1. An intraday examination of the limit order schedule; 4.2. Robustness of results across size of stocks and time periods; 5. Summary and Conclusions; Acknowledgments; References; Section II - Essays on Liquidity of Markets; Chapter 5 The Cross Section of Daily Variation in Liquidity Tarun Chordia, Lakshmanan Shivakumar, Avanidhar Subrahmanyam; 1. Data 1.1. Inclusion requirements1.2. Summary statistics; 2. The Relation Between Liquidity and Stock Volatility; 2.1. Theoretical background; 2.2. Empirical analysis; 2.2.1. Time-series regressions; 2.2.2. Cross-sectional determinants of the response of liquidity to absolute returns; 2.2.3. Robustness checks; 3. Conclusion; Acknowledgments; References; Chapter 6 Intraday Volatility on the NYSE and NASDAQ Daniel G.Weaver; 1. Introduction; 2. Sample and Methodology; 3. Results; 4. Conclusion; Acknowledgments; References Chapter 7 The Intraday Probability of Informed Trading on the NYSE Michael A. Goldstein, Bonnie F. Van Ness, Robert A. Van Ness |
| Record Nr. | UNINA-9910453338103321 |
| Hackensack, N.J., : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 3 : essays in microstructure in honor of David K. Whitcomb / / editors, Ivan E. Brick, Tavy Ronen, Cheng-Few Lee
| Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 3 : essays in microstructure in honor of David K. Whitcomb / / editors, Ivan E. Brick, Tavy Ronen, Cheng-Few Lee |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (269 p.) |
| Disciplina | 332.632 |
| Altri autori (Persone) |
WhitcombDavid K
BrickIvan E RonenTavy LeeCheng F |
| Collana | Advances in Quantitative Analysis of Finance & Accounting |
| Soggetto topico |
Stock exchanges - Mathematical models
Securities - Prices - Mathematical models Liquidity (Economics) - Mathematical models |
| ISBN |
1-281-90910-6
9786611909109 981-270-729-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface to Volume 3; Contents; Introduction to Volume 3 Ivan E. Brick, Tavy Ronen; List of Contributors; Section I - Economics of Limit Orders; Chapter 1 Discriminatory Limit Order Books, Uniform Price Clearing and Optimality Lawrence R. Glosten; 1. Introduction; 2. The Economic Setting; 3. Optimum Terms of Trade; 4. Discriminatory CLOB and Uniform Price Clearing; 4.1. CLOB; 4.2. Uniform price clearing; 4.3. Welfare analysis; 5. Discussion; 6. Conclusion; Acknowledgments; References
Chapter 2 Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice Mark Coppejans, Ian Domowitz, Ananth Madhavan1. Introduction; 2. Theory; 2.1. Model framework; 2.2. Liquidity dynamics; 3. Empirical Results; 3.1. Institutional details; 3.2. Data; 3.3. Liquidity metrics; 3.4. Realized price impact costs; 4. Dynamics of Liquidity; 4.1. Identification; 4.2. Specification and estimation of market liquidity dynamics; 4.3. Impulse response functions; 4.4. The dynamic relationship between liquidity and volatility; 5. Practical Issues; 5.1. Institutional trading 5.2. Optimal trading strategies5.3. Market structure, trading protocols, and resiliency; 6. Conclusion; Acknowledgments; References; Chapter 3 Notes for a Contingent Claims Theory of Limit Order Markets Bruce N. Lehmann; 1. Introduction; 2. Limit Orders as Order Flow Derivatives; 3. Limit Order Valuation and Order Flow Bets; 4. Limit Order Book Dynamics; 5. Conclusion; Acknowledgments; References; Chapter 4 The Option Value of the Limit Order Book Alex Frino, Elvis Jarnecic, Thomas H. McInish; 1. Introduction; 2. The ASX Market Structure; 3. Data and Methodology 3.1. Databases and sample selection3.2. Reconstruction of the limit order schedule; 3.3. Calculation of variables and the option value of a limit order; 3.4. The limit order schedule and its option value; 4. Empirical Results; 4.1. An intraday examination of the limit order schedule; 4.2. Robustness of results across size of stocks and time periods; 5. Summary and Conclusions; Acknowledgments; References; Section II - Essays on Liquidity of Markets; Chapter 5 The Cross Section of Daily Variation in Liquidity Tarun Chordia, Lakshmanan Shivakumar, Avanidhar Subrahmanyam; 1. Data 1.1. Inclusion requirements1.2. Summary statistics; 2. The Relation Between Liquidity and Stock Volatility; 2.1. Theoretical background; 2.2. Empirical analysis; 2.2.1. Time-series regressions; 2.2.2. Cross-sectional determinants of the response of liquidity to absolute returns; 2.2.3. Robustness checks; 3. Conclusion; Acknowledgments; References; Chapter 6 Intraday Volatility on the NYSE and NASDAQ Daniel G.Weaver; 1. Introduction; 2. Sample and Methodology; 3. Results; 4. Conclusion; Acknowledgments; References Chapter 7 The Intraday Probability of Informed Trading on the NYSE Michael A. Goldstein, Bonnie F. Van Ness, Robert A. Van Ness |
| Record Nr. | UNINA-9910782488003321 |
| Hackensack, N.J., : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 3 : essays in microstructure in honor of David K. Whitcomb / / editors, Ivan E. Brick, Tavy Ronen, Cheng-Few Lee
| Advances in quantitative analysis of finance and accounting [[electronic resource] ] . Volume 3 : essays in microstructure in honor of David K. Whitcomb / / editors, Ivan E. Brick, Tavy Ronen, Cheng-Few Lee |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (269 p.) |
| Disciplina | 332.632 |
| Altri autori (Persone) |
WhitcombDavid K
BrickIvan E RonenTavy LeeCheng F |
| Collana | Advances in Quantitative Analysis of Finance & Accounting |
| Soggetto topico |
Stock exchanges - Mathematical models
Securities - Prices - Mathematical models Liquidity (Economics) - Mathematical models |
| ISBN |
1-281-90910-6
9786611909109 981-270-729-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface to Volume 3; Contents; Introduction to Volume 3 Ivan E. Brick, Tavy Ronen; List of Contributors; Section I - Economics of Limit Orders; Chapter 1 Discriminatory Limit Order Books, Uniform Price Clearing and Optimality Lawrence R. Glosten; 1. Introduction; 2. The Economic Setting; 3. Optimum Terms of Trade; 4. Discriminatory CLOB and Uniform Price Clearing; 4.1. CLOB; 4.2. Uniform price clearing; 4.3. Welfare analysis; 5. Discussion; 6. Conclusion; Acknowledgments; References
Chapter 2 Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice Mark Coppejans, Ian Domowitz, Ananth Madhavan1. Introduction; 2. Theory; 2.1. Model framework; 2.2. Liquidity dynamics; 3. Empirical Results; 3.1. Institutional details; 3.2. Data; 3.3. Liquidity metrics; 3.4. Realized price impact costs; 4. Dynamics of Liquidity; 4.1. Identification; 4.2. Specification and estimation of market liquidity dynamics; 4.3. Impulse response functions; 4.4. The dynamic relationship between liquidity and volatility; 5. Practical Issues; 5.1. Institutional trading 5.2. Optimal trading strategies5.3. Market structure, trading protocols, and resiliency; 6. Conclusion; Acknowledgments; References; Chapter 3 Notes for a Contingent Claims Theory of Limit Order Markets Bruce N. Lehmann; 1. Introduction; 2. Limit Orders as Order Flow Derivatives; 3. Limit Order Valuation and Order Flow Bets; 4. Limit Order Book Dynamics; 5. Conclusion; Acknowledgments; References; Chapter 4 The Option Value of the Limit Order Book Alex Frino, Elvis Jarnecic, Thomas H. McInish; 1. Introduction; 2. The ASX Market Structure; 3. Data and Methodology 3.1. Databases and sample selection3.2. Reconstruction of the limit order schedule; 3.3. Calculation of variables and the option value of a limit order; 3.4. The limit order schedule and its option value; 4. Empirical Results; 4.1. An intraday examination of the limit order schedule; 4.2. Robustness of results across size of stocks and time periods; 5. Summary and Conclusions; Acknowledgments; References; Section II - Essays on Liquidity of Markets; Chapter 5 The Cross Section of Daily Variation in Liquidity Tarun Chordia, Lakshmanan Shivakumar, Avanidhar Subrahmanyam; 1. Data 1.1. Inclusion requirements1.2. Summary statistics; 2. The Relation Between Liquidity and Stock Volatility; 2.1. Theoretical background; 2.2. Empirical analysis; 2.2.1. Time-series regressions; 2.2.2. Cross-sectional determinants of the response of liquidity to absolute returns; 2.2.3. Robustness checks; 3. Conclusion; Acknowledgments; References; Chapter 6 Intraday Volatility on the NYSE and NASDAQ Daniel G.Weaver; 1. Introduction; 2. Sample and Methodology; 3. Results; 4. Conclusion; Acknowledgments; References Chapter 7 The Intraday Probability of Informed Trading on the NYSE Michael A. Goldstein, Bonnie F. Van Ness, Robert A. Van Ness |
| Altri titoli varianti | Finance and accounting |
| Record Nr. | UNINA-9910824665603321 |
| Hackensack, N.J., : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An elementary introduction to mathematical finance : options and other topics / Sheldon M. Ross
| An elementary introduction to mathematical finance : options and other topics / Sheldon M. Ross |
| Autore | Ross, Sheldon M. |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Cambridge, U. K. : Cambridge University Press, 2003 |
| Descrizione fisica | xv, 253 p. : ill. ; 24 cm |
| Disciplina | 332.60151 |
| Soggetto topico |
Investments - Mathematics
Stochastic analysis Options (Finance) - Mathematical models Securities - Prices - Mathematical models |
| ISBN | 0521814294 |
| Classificazione |
AMS 91B28
LC HG4515.3.R67 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents: Probability ; Normal random variables ; Geometric Brownian motion ; Interest rates and present value analysis ; Pricing contracts via Arbitrage ; The Arbitrage Theorem ; The Black-Scholes formula ; Additional results on options ; Valuing by expected utility ; Optimization models ; Exotic options ; Beyond geometric Brownian motion models ; Autogressive models and mean reversion. |
| Record Nr. | UNISALENTO-991001560059707536 |
Ross, Sheldon M.
|
||
| Cambridge, U. K. : Cambridge University Press, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Forecasting expected returns in the financial markets [[electronic resource] /] / edited by Stephen Satchell
| Forecasting expected returns in the financial markets [[electronic resource] /] / edited by Stephen Satchell |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Academic Press, 2007 |
| Descrizione fisica | 1 online resource (286 p.) |
| Disciplina | 332.63/2042 |
| Altri autori (Persone) | SatchellS (Stephen) |
| Collana | Quantitative finance series |
| Soggetto topico |
Stock price forecasting - Mathematics
Securities - Prices - Mathematical models Investment analysis - Mathematics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-05765-7
9786611057657 0-08-055067-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Market efficiency and forecasting -- A step-by-step guide to the Black-Litterman model -- A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction -- Optimal portfolios from ordering information -- Some choices in forecast construction -- Bayesian analysis of the Black-Scholes option price -- Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information -- Robust optimization for utilizing forecasted returns in institutional investment -- Cross-sectional stock returns in the UK market : the role of liquidity risk -- The information horizon- optimal holding period, strategy aggression and model combination in a multi-horizon framework -- Optimal forecasting horizon for skilled investors -- Investments as bets in the binomial asset pricing model -- The hidden binomial economy and the role of forecasts in determining prices. |
| Record Nr. | UNINA-9910457671603321 |
| Amsterdam ; ; Boston, : Academic Press, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Forecasting expected returns in the financial markets [[electronic resource] /] / edited by Stephen Satchell
| Forecasting expected returns in the financial markets [[electronic resource] /] / edited by Stephen Satchell |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Academic Press, 2007 |
| Descrizione fisica | 1 online resource (286 p.) |
| Disciplina | 332.63/2042 |
| Altri autori (Persone) | SatchellStephen <1949-> |
| Collana | Quantitative finance series |
| Soggetto topico |
Stock price forecasting - Mathematics
Securities - Prices - Mathematical models Investment analysis - Mathematics |
| ISBN |
1-281-05765-7
9786611057657 0-08-055067-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Market efficiency and forecasting -- A step-by-step guide to the Black-Litterman model -- A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction -- Optimal portfolios from ordering information -- Some choices in forecast construction -- Bayesian analysis of the Black-Scholes option price -- Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information -- Robust optimization for utilizing forecasted returns in institutional investment -- Cross-sectional stock returns in the UK market : the role of liquidity risk -- The information horizon- optimal holding period, strategy aggression and model combination in a multi-horizon framework -- Optimal forecasting horizon for skilled investors -- Investments as bets in the binomial asset pricing model -- The hidden binomial economy and the role of forecasts in determining prices. |
| Record Nr. | UNINA-9910784349603321 |
| Amsterdam ; ; Boston, : Academic Press, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Forecasting expected returns in the financial markets / / edited by Stephen Satchell
| Forecasting expected returns in the financial markets / / edited by Stephen Satchell |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Academic Press, 2007 |
| Descrizione fisica | 1 online resource (286 p.) |
| Disciplina | 332.63/2042 |
| Altri autori (Persone) | SatchellS (Stephen) |
| Collana | Quantitative finance series |
| Soggetto topico |
Stock price forecasting - Mathematics
Securities - Prices - Mathematical models Investment analysis - Mathematics |
| ISBN |
1-281-05765-7
9786611057657 0-08-055067-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Market efficiency and forecasting -- A step-by-step guide to the Black-Litterman model -- A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction -- Optimal portfolios from ordering information -- Some choices in forecast construction -- Bayesian analysis of the Black-Scholes option price -- Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information -- Robust optimization for utilizing forecasted returns in institutional investment -- Cross-sectional stock returns in the UK market : the role of liquidity risk -- The information horizon- optimal holding period, strategy aggression and model combination in a multi-horizon framework -- Optimal forecasting horizon for skilled investors -- Investments as bets in the binomial asset pricing model -- The hidden binomial economy and the role of forecasts in determining prices. |
| Record Nr. | UNINA-9910828006003321 |
| Amsterdam ; ; Boston, : Academic Press, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Forecasting volatility in the financial markets [[electronic resource] /] / edited by John Knight, Stephen Satchell
| Forecasting volatility in the financial markets [[electronic resource] /] / edited by John Knight, Stephen Satchell |
| Edizione | [3rd ed.] |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Butterworth-Heinemann, 2007 |
| Descrizione fisica | 1 online resource (428 p.) |
| Disciplina | 332.66/2042 |
| Altri autori (Persone) |
KnightJohn L
SatchellS (Stephen) |
| Collana | Quantitative finance series |
| Soggetto topico |
Options (Finance) - Mathematical models
Securities - Prices - Mathematical models Stock price forecasting - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-96289-5
9786610962891 0-08-047142-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Forecasting Volatility in the Financial Markets; Copyright Page; Table of Contents; List of contributors; Preface to Third Edition; Introduction; Chapter 1 Volatility modelling and forecasting in finance; 1.1 Introduction; 1.2 Autoregressive moving average models; 1.3 Changes in volatility; 1.3.1 Volatility in financial time series: stylized facts; 1.3.2 The basic set-up; 1.4 ARCH models; 1.4.1 Generalized ARCH; 1.4.2 Integrated ARCH; 1.4.3 Exponential ARCH; 1.4.4 ARCH-M model; 1.4.5 Fractionally integrated ARCH; 1.4.6 Other univariate ARCH formulations
1.4.7 Multivariate ARCH models1.5 Stochastic variance models; 1.5.1 From continuous time financial models to discrete time SV models; 1.5.2 Persistence and the SV model; 1.5.3 Long memory SV models; 1.5.4 Risk-return trade-off in SV models; 1.5.5 Multivariate SV models; 1.6 Structural changes in the underlying process; 1.6.1 Regime switching models; 1.6.2 Extensions of the regime switching models; 1.7 Threshold models; 1.7.1 Self-exciting threshold models; 1.7.2 Open loop threshold models; 1.7.3 Closed loop threshold models; 1.7.4 Smooth threshold autoregressive models 1.7.5 Identification in SETAR models1.7.6 A threshold AR(1) model; 1.7.7 A threshold MA model; 1.7.8 Threshold models and asymmetries in volatility; 1.7.9 Testing for non-linearity; 1.7.10 Threshold estimation and prediction of TAR models; 1.8 Volatility forecasting; 1.8.1 Volatility forecasting based on time-series models; 1.8.2 Volatility forecasting based on option ISD (Implied Standard Deviation); 1.9 Conclusion; References and further reading; Notes; Chapter 2 What good is a volatility model?; Abstract; 2.1 Introduction; 2.1.1 Notation; 2.1.2 Types of volatility models 2.2 Stylized facts about asset price volatility2.2.1 Volatility exhibits persistence; 2.2.2 Volatility is mean reverting; 2.2.3 Innovations may have an asymmetric impact on volatility; 2.2.4 Exogenous variables may influence volatility; 2.2.5 Tail probabilities; 2.2.6 Forecast evaluation; 2.3 An empirical example; 2.3.1 Summary of the data; 2.3.2 A volatility model; 2.3.3 Mean reversion and persistence in volatility; 2.3.4 An asymmetric volatility model; 2.3.5 A model with exogenous volatility regressors; 2.3.6 Aggregation of volatility models 2.4 Conclusions and challenges for future researchReferences; Notes; Chapter 3 Applications of portfolio variety; Abstract; 3.1 Introduction; 3.2 Some applications of variety; 3.3 Empirical research on variety; 3.4 Variety and risk estimation; 3.5 Variety as an explanation of active management styles; 3.6 Summary; References; Chapter 4 A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices; 4.1 Introduction; 4.2 Data; 4.3 Theory and empirical methodology; 4.3.1 Realized variance; 4.3.2 Optimal sampling frequency; 4.3.3 Estimation; 4.3.4 Forecasting 4.4 Initial data analysis |
| Record Nr. | UNINA-9910457681603321 |
| Amsterdam ; ; Boston, : Butterworth-Heinemann, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Forecasting volatility in the financial markets [[electronic resource] /] / edited by John Knight, Stephen Satchell
| Forecasting volatility in the financial markets [[electronic resource] /] / edited by John Knight, Stephen Satchell |
| Edizione | [3rd ed.] |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Butterworth-Heinemann, 2007 |
| Descrizione fisica | 1 online resource (428 p.) |
| Disciplina | 332.66/2042 |
| Altri autori (Persone) |
KnightJohn L
SatchellStephen <1949-> |
| Collana | Quantitative finance series |
| Soggetto topico |
Options (Finance) - Mathematical models
Securities - Prices - Mathematical models Stock price forecasting - Mathematical models |
| ISBN |
1-280-96289-5
9786610962891 0-08-047142-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Forecasting Volatility in the Financial Markets; Copyright Page; Table of Contents; List of contributors; Preface to Third Edition; Introduction; Chapter 1 Volatility modelling and forecasting in finance; 1.1 Introduction; 1.2 Autoregressive moving average models; 1.3 Changes in volatility; 1.3.1 Volatility in financial time series: stylized facts; 1.3.2 The basic set-up; 1.4 ARCH models; 1.4.1 Generalized ARCH; 1.4.2 Integrated ARCH; 1.4.3 Exponential ARCH; 1.4.4 ARCH-M model; 1.4.5 Fractionally integrated ARCH; 1.4.6 Other univariate ARCH formulations
1.4.7 Multivariate ARCH models1.5 Stochastic variance models; 1.5.1 From continuous time financial models to discrete time SV models; 1.5.2 Persistence and the SV model; 1.5.3 Long memory SV models; 1.5.4 Risk-return trade-off in SV models; 1.5.5 Multivariate SV models; 1.6 Structural changes in the underlying process; 1.6.1 Regime switching models; 1.6.2 Extensions of the regime switching models; 1.7 Threshold models; 1.7.1 Self-exciting threshold models; 1.7.2 Open loop threshold models; 1.7.3 Closed loop threshold models; 1.7.4 Smooth threshold autoregressive models 1.7.5 Identification in SETAR models1.7.6 A threshold AR(1) model; 1.7.7 A threshold MA model; 1.7.8 Threshold models and asymmetries in volatility; 1.7.9 Testing for non-linearity; 1.7.10 Threshold estimation and prediction of TAR models; 1.8 Volatility forecasting; 1.8.1 Volatility forecasting based on time-series models; 1.8.2 Volatility forecasting based on option ISD (Implied Standard Deviation); 1.9 Conclusion; References and further reading; Notes; Chapter 2 What good is a volatility model?; Abstract; 2.1 Introduction; 2.1.1 Notation; 2.1.2 Types of volatility models 2.2 Stylized facts about asset price volatility2.2.1 Volatility exhibits persistence; 2.2.2 Volatility is mean reverting; 2.2.3 Innovations may have an asymmetric impact on volatility; 2.2.4 Exogenous variables may influence volatility; 2.2.5 Tail probabilities; 2.2.6 Forecast evaluation; 2.3 An empirical example; 2.3.1 Summary of the data; 2.3.2 A volatility model; 2.3.3 Mean reversion and persistence in volatility; 2.3.4 An asymmetric volatility model; 2.3.5 A model with exogenous volatility regressors; 2.3.6 Aggregation of volatility models 2.4 Conclusions and challenges for future researchReferences; Notes; Chapter 3 Applications of portfolio variety; Abstract; 3.1 Introduction; 3.2 Some applications of variety; 3.3 Empirical research on variety; 3.4 Variety and risk estimation; 3.5 Variety as an explanation of active management styles; 3.6 Summary; References; Chapter 4 A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices; 4.1 Introduction; 4.2 Data; 4.3 Theory and empirical methodology; 4.3.1 Realized variance; 4.3.2 Optimal sampling frequency; 4.3.3 Estimation; 4.3.4 Forecasting 4.4 Initial data analysis |
| Record Nr. | UNINA-9910784357303321 |
| Amsterdam ; ; Boston, : Butterworth-Heinemann, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Forecasting volatility in the financial markets / / edited by John Knight, Stephen Satchell
| Forecasting volatility in the financial markets / / edited by John Knight, Stephen Satchell |
| Edizione | [3rd ed.] |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Butterworth-Heinemann, 2007 |
| Descrizione fisica | 1 online resource (428 p.) |
| Disciplina | 332.66/2042 |
| Altri autori (Persone) |
KnightJohn L
SatchellS (Stephen) |
| Collana | Quantitative finance series |
| Soggetto topico |
Options (Finance) - Mathematical models
Securities - Prices - Mathematical models Stock price forecasting - Mathematical models |
| ISBN |
1-280-96289-5
9786610962891 0-08-047142-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Forecasting Volatility in the Financial Markets; Copyright Page; Table of Contents; List of contributors; Preface to Third Edition; Introduction; Chapter 1 Volatility modelling and forecasting in finance; 1.1 Introduction; 1.2 Autoregressive moving average models; 1.3 Changes in volatility; 1.3.1 Volatility in financial time series: stylized facts; 1.3.2 The basic set-up; 1.4 ARCH models; 1.4.1 Generalized ARCH; 1.4.2 Integrated ARCH; 1.4.3 Exponential ARCH; 1.4.4 ARCH-M model; 1.4.5 Fractionally integrated ARCH; 1.4.6 Other univariate ARCH formulations
1.4.7 Multivariate ARCH models1.5 Stochastic variance models; 1.5.1 From continuous time financial models to discrete time SV models; 1.5.2 Persistence and the SV model; 1.5.3 Long memory SV models; 1.5.4 Risk-return trade-off in SV models; 1.5.5 Multivariate SV models; 1.6 Structural changes in the underlying process; 1.6.1 Regime switching models; 1.6.2 Extensions of the regime switching models; 1.7 Threshold models; 1.7.1 Self-exciting threshold models; 1.7.2 Open loop threshold models; 1.7.3 Closed loop threshold models; 1.7.4 Smooth threshold autoregressive models 1.7.5 Identification in SETAR models1.7.6 A threshold AR(1) model; 1.7.7 A threshold MA model; 1.7.8 Threshold models and asymmetries in volatility; 1.7.9 Testing for non-linearity; 1.7.10 Threshold estimation and prediction of TAR models; 1.8 Volatility forecasting; 1.8.1 Volatility forecasting based on time-series models; 1.8.2 Volatility forecasting based on option ISD (Implied Standard Deviation); 1.9 Conclusion; References and further reading; Notes; Chapter 2 What good is a volatility model?; Abstract; 2.1 Introduction; 2.1.1 Notation; 2.1.2 Types of volatility models 2.2 Stylized facts about asset price volatility2.2.1 Volatility exhibits persistence; 2.2.2 Volatility is mean reverting; 2.2.3 Innovations may have an asymmetric impact on volatility; 2.2.4 Exogenous variables may influence volatility; 2.2.5 Tail probabilities; 2.2.6 Forecast evaluation; 2.3 An empirical example; 2.3.1 Summary of the data; 2.3.2 A volatility model; 2.3.3 Mean reversion and persistence in volatility; 2.3.4 An asymmetric volatility model; 2.3.5 A model with exogenous volatility regressors; 2.3.6 Aggregation of volatility models 2.4 Conclusions and challenges for future researchReferences; Notes; Chapter 3 Applications of portfolio variety; Abstract; 3.1 Introduction; 3.2 Some applications of variety; 3.3 Empirical research on variety; 3.4 Variety and risk estimation; 3.5 Variety as an explanation of active management styles; 3.6 Summary; References; Chapter 4 A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices; 4.1 Introduction; 4.2 Data; 4.3 Theory and empirical methodology; 4.3.1 Realized variance; 4.3.2 Optimal sampling frequency; 4.3.3 Estimation; 4.3.4 Forecasting 4.4 Initial data analysis |
| Record Nr. | UNINA-9910824456303321 |
| Amsterdam ; ; Boston, : Butterworth-Heinemann, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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