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| FORECASTING VOLATILITY IN THE FINANCIAL MARKETS
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To order this title, and for more information, click here
Third Edition
By
Stephen Satchell, Consultant to financial institutions and Reader in Financial Econometrics at Trinity College, Cambridge, Stephen Satchell is Editor-in-Chief
of the Journal of Asset Management and Derivatives, Use, Trading, and Regulation. He has edited or authored over 20 books on finance.
John Knight, FCIBSE (Haden Young Ltd), UK
Included in series
Quantitative Finance,
Description
This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles
and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques.
It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen
Satchell have brought together an impressive array of contributors who present research from their area of specialization related to
volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection
of up-to-date chapters on the latest techniques in forecasting volatility.
Chapters new to this third edition:
* What good is a volatility
model? Engle and Patton
* Applications for portfolio variety Dan diBartolomeo
* A comparison of the properties of realized variance
for the FTSE 100 and FTSE 250 equity indices Rob Cornish
* Volatility modeling and forecasting in finance Xiao and Aydemir
* An investigation
of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey
Audience
Primary audience: Investment Professionals and academics
Contents
1 Volatility modeling and forecasting in finance, by L. Xiao and A. Aydemir;
2 What good is a volatility model?, by R.F.Engle and A. J.
Patton;
3 Applications of portfolio Variety, by D. diBartolomeo;
4 A comparison of the properties of realized variance for the FTSE
100 and FTSE 250 equity indices, by R. Cornish;
5 An investigation of the relative performance of GARCH models versus simple rules in
forecasting volatility, by T. A. Silvey;
6 Stochastic volatility and option pricing, by G. J. Jiang;
7 Modelling slippage: an application
to the bund futures contract, by E.Acar and E. Petitdidier;
8 Real trading volume and price action in the foreign exchange markets,
by P. Lequeux;
9 Implied risk-neutral probability density functions from option prices: a central bank perspective, by B. Bahra;
10
Hashing GARCH: a reassessment of volatility forecasting performance, by G. A. Christodoulakis and S. E. Satchell;
11 Implied volatility
forecasting: a comparison of different procedures including fractionally integrated models with applications to UK equity options, by
S. Hwang and S. E. Satchell;
12 GARCH predictions and the predictions of option prices, by J. Knight and S. E. Satchell
13 Volatility
forecasting in a tick data model, by L. C. G. Rogers;
14 An econometric model of downside risk, by S. Bond;
15 Variations in the mean
and volatility of stock returns around turning points of the business cycle, by G. Perez-Quiros and A. Timmermann;
16 Long memory in
stochastic volatility, by A. C. Harvey;
17 GARCH processes – some exact results, some difficulties and a suggested remedy, by J. L.
Knight and S. E. Satchell;
18 Generating composite volatility forecasts with random factor betas, by G. A. Christodolakis
| Bibliographic details |
Hardbound, 432 pages, publication date: FEB-2007
ISBN-13: 978-0-7506-6942-9
ISBN-10: 0-7506-6942-X
Imprint: BUTTERWORTH HEINEMANN
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| Price and Ordering |
Price:
EUR 75.95
GBP 64
USD 95.95
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Last update: 5 Sep 2009
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