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Asset price dynamics, volatility, an...

Taylor, Stephen

Asset price dynamics, volatility, and prediction[electronic resource] /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	332.60151962
書名/作者:	Asset price dynamics, volatility, and prediction/ Stephen J. Taylor.
作者:	Taylor, Stephen
出版者:	Princeton, N.J. : : Princeton University Press,, 2007.
面頁冊數:	1 online resource (xv, 525 p.) : : ill.
標題:	Capital assets pricing model.
標題:	Finance - Mathematical models.
ISBN:	9781400839254 (electronic bk.)
ISBN:	1400839254 (electronic bk.)
書目註:	Includes bibliographical references (p. 473-501) and indexes.
內容註:	I. Foundations. Prices and returns ; Stochastic processes : definitions and examples ; Stylized facts for financial returns -- II. Conditional expected returns. The variance-ratio test of the random walk hypothesis ; Further tests of the random walk hypothesis ; Trading rules and market efficiency -- III. Volatility processes. An introduction to volatility ; ARCH models : definitions and examples ; ARCH models : selection and likelihood methods ; Stochastic volatility models -- IV. High-frequency methods. High-frequency data and models -- V. Inferences from option prices. Continuous-time stochastic processes ; Option pricing formulae ; Forecasting volatility ; Density prediction for asset prices.
摘要、提要註:	This 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.
電子資源:	http://www.jstor.org/stable/10.2307/j.ctt7t66m

Asset price dynamics, volatility, and prediction[electronic resource] /
Taylor, Stephen

Asset price dynamics, volatility, and prediction[electronic resource] /Stephen J. Taylor. - Princeton, N.J. :Princeton University Press,2007. - 1 online resource (xv, 525 p.) :ill.

Includes bibliographical references (p. 473-501) and indexes.

I. Foundations. Prices and returns ; Stochastic processes : definitions and examples ; Stylized facts for financial returns -- II. Conditional expected returns. The variance-ratio test of the random walk hypothesis ; Further tests of the random walk hypothesis ; Trading rules and market efficiency -- III. Volatility processes. An introduction to volatility ; ARCH models : definitions and examples ; ARCH models : selection and likelihood methods ; Stochastic volatility models -- IV. High-frequency methods. High-frequency data and models -- V. Inferences from option prices. Continuous-time stochastic processes ; Option pricing formulae ; Forecasting volatility ; Density prediction for asset prices.

This 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.

ISBN: 9781400839254 (electronic bk.)Subjects--Topical Terms:

342856
Capital assets pricing model.

LC Class. No.: HG4636 / .T348 2011

Dewey Class. No.: 332.60151962

Asset price dynamics, volatility, and prediction[electronic resource] /
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020 $a 9781400839254 (electronic bk.)
020 $a 1400839254 (electronic bk.)
020 $z 9780691134796
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035 $a (OCoLC)705944547 $z (OCoLC)857638123
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040 $a N $b eng $e pn $c N $d E7B $d EBLCP $d MHW $d OCLCQ $d REDDC $d OCLCQ $d YDXCP $d OCLCQ $d DEBSZ $d JSTOR $d OCLCF $d DKDLA $d OCLCQ
050 4 $a HG4636 $b .T348 2011
082 0 4 $a 332.60151962 $2 22
100 1 $a Taylor, Stephen $q (Stephen J.) $3 342197
245 1 0 $a Asset price dynamics, volatility, and prediction $h [electronic resource] / $c Stephen J. Taylor.
260 $a Princeton, N.J. : $b Princeton University Press, $c 2007.
300 $a 1 online resource (xv, 525 p.) : $b ill.
504 $a Includes bibliographical references (p. 473-501) and indexes.
505 0 $a I. Foundations. Prices and returns ; Stochastic processes : definitions and examples ; Stylized facts for financial returns -- II. Conditional expected returns. The variance-ratio test of the random walk hypothesis ; Further tests of the random walk hypothesis ; Trading rules and market efficiency -- III. Volatility processes. An introduction to volatility ; ARCH models : definitions and examples ; ARCH models : selection and likelihood methods ; Stochastic volatility models -- IV. High-frequency methods. High-frequency data and models -- V. Inferences from option prices. Continuous-time stochastic processes ; Option pricing formulae ; Forecasting volatility ; Density prediction for asset prices.
520 $a This 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.
588 0 $a Print version record.
650 0 $a Capital assets pricing model. $3 342856
650 0 $a Finance $x Mathematical models. $3 342179
856 4 0 $u http://www.jstor.org/stable/10.2307/j.ctt7t66m

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