Asset Price Dynamics, Volatility, and Prediction / / Stephen J. Taylor.
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...
Saved in:
Superior document: | Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
---|---|
VerfasserIn: | |
Place / Publishing House: | Princeton, NJ : : Princeton University Press, , [2011] ©2005 |
Year of Publication: | 2011 |
Edition: | Course Book |
Language: | English |
Online Access: | |
Physical Description: | 1 online resource (544 p.) :; 101 line illus. 47 tables. |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
id |
9781400839254 |
---|---|
ctrlnum |
(DE-B1597)446717 (OCoLC)979749813 |
collection |
bib_alma |
record_format |
marc |
spelling |
Taylor, Stephen J., author. aut http://id.loc.gov/vocabulary/relators/aut Asset Price Dynamics, Volatility, and Prediction / Stephen J. Taylor. Course Book Princeton, NJ : Princeton University Press, [2011] ©2005 1 online resource (544 p.) : 101 line illus. 47 tables. text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda 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 restricted access http://purl.org/coar/access_right/c_16ec online access with authorization star 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 theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed. Issued also in print. Mode of access: Internet via World Wide Web. In English. Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021) Capital assets pricing model. Finance Mathematical models. BUSINESS & ECONOMICS / Finance / General. bisacsh Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 9783110442502 print 9780691134796 https://doi.org/10.1515/9781400839254 https://www.degruyter.com/isbn/9781400839254 Cover https://www.degruyter.com/cover/covers/9781400839254.jpg |
language |
English |
format |
eBook |
author |
Taylor, Stephen J., Taylor, Stephen J., |
spellingShingle |
Taylor, Stephen J., Taylor, Stephen J., Asset Price Dynamics, Volatility, and Prediction / 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 |
author_facet |
Taylor, Stephen J., Taylor, Stephen J., |
author_variant |
s j t sj sjt s j t sj sjt |
author_role |
VerfasserIn VerfasserIn |
author_sort |
Taylor, Stephen J., |
title |
Asset Price Dynamics, Volatility, and Prediction / |
title_full |
Asset Price Dynamics, Volatility, and Prediction / Stephen J. Taylor. |
title_fullStr |
Asset Price Dynamics, Volatility, and Prediction / Stephen J. Taylor. |
title_full_unstemmed |
Asset Price Dynamics, Volatility, and Prediction / Stephen J. Taylor. |
title_auth |
Asset Price Dynamics, Volatility, and Prediction / |
title_alt |
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 |
title_new |
Asset Price Dynamics, Volatility, and Prediction / |
title_sort |
asset price dynamics, volatility, and prediction / |
publisher |
Princeton University Press, |
publishDate |
2011 |
physical |
1 online resource (544 p.) : 101 line illus. 47 tables. Issued also in print. |
edition |
Course Book |
contents |
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 |
isbn |
9781400839254 9783110442502 9780691134796 |
callnumber-first |
H - Social Science |
callnumber-subject |
HG - Finance |
callnumber-label |
HG4636 |
callnumber-sort |
HG 44636 |
url |
https://doi.org/10.1515/9781400839254 https://www.degruyter.com/isbn/9781400839254 https://www.degruyter.com/cover/covers/9781400839254.jpg |
illustrated |
Illustrated |
dewey-hundreds |
300 - Social sciences |
dewey-tens |
330 - Economics |
dewey-ones |
332 - Financial economics |
dewey-full |
332.60151962 |
dewey-sort |
3332.60151962 |
dewey-raw |
332.60151962 |
dewey-search |
332.60151962 |
doi_str_mv |
10.1515/9781400839254 |
oclc_num |
979749813 |
work_keys_str_mv |
AT taylorstephenj assetpricedynamicsvolatilityandprediction |
status_str |
n |
ids_txt_mv |
(DE-B1597)446717 (OCoLC)979749813 |
carrierType_str_mv |
cr |
hierarchy_parent_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
is_hierarchy_title |
Asset Price Dynamics, Volatility, and Prediction / |
container_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
_version_ |
1770176666553810944 |
fullrecord |
<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>04987nam a22007455i 4500</leader><controlfield tag="001">9781400839254</controlfield><controlfield tag="003">DE-B1597</controlfield><controlfield tag="005">20210830012106.0</controlfield><controlfield tag="006">m|||||o||d||||||||</controlfield><controlfield tag="007">cr || ||||||||</controlfield><controlfield tag="008">210830t20112005nju fo d z eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781400839254</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1515/9781400839254</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-B1597)446717</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)979749813</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-B1597</subfield><subfield code="b">eng</subfield><subfield code="c">DE-B1597</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">nju</subfield><subfield code="c">US-NJ</subfield></datafield><datafield tag="050" ind1=" " ind2="4"><subfield code="a">HG4636</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS027000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">332.60151962</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Taylor, Stephen J., </subfield><subfield code="e">author.</subfield><subfield code="4">aut</subfield><subfield code="4">http://id.loc.gov/vocabulary/relators/aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Asset Price Dynamics, Volatility, and Prediction /</subfield><subfield code="c">Stephen J. Taylor.</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">Course Book</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Princeton, NJ : </subfield><subfield code="b">Princeton University Press, </subfield><subfield code="c">[2011]</subfield></datafield><datafield tag="264" ind1=" " ind2="4"><subfield code="c">©2005</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (544 p.) :</subfield><subfield code="b">101 line illus. 47 tables.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">computer</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">online resource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="347" ind1=" " ind2=" "><subfield code="a">text file</subfield><subfield code="b">PDF</subfield><subfield code="2">rda</subfield></datafield><datafield tag="505" ind1="0" ind2="0"><subfield code="t">Frontmatter -- </subfield><subfield code="t">Contents -- </subfield><subfield code="t">Preface -- </subfield><subfield code="t">1. Introduction -- </subfield><subfield code="t">Part I. Foundations -- </subfield><subfield code="t">2. Prices and Returns -- </subfield><subfield code="t">3. Stochastic Processes: Definitions and Examples -- </subfield><subfield code="t">4. Stylized Facts for Financial Returns -- </subfield><subfield code="t">Part II. Conditional Expected Returns -- </subfield><subfield code="t">5. The Variance-Ratio Test of the RandomWalk Hypothesis -- </subfield><subfield code="t">6. Further Tests of the RandomWalk Hypothesis -- </subfield><subfield code="t">7. Trading Rules and Market Efficiency -- </subfield><subfield code="t">Part III. Volatility Processes -- </subfield><subfield code="t">8. An Introduction to Volatility -- </subfield><subfield code="t">9. ARCH Models: Definitions and Examples -- </subfield><subfield code="t">10. ARCH Models: Selection and Likelihood Methods -- </subfield><subfield code="t">11. Stochastic Volatility Models -- </subfield><subfield code="t">Part IV. High-Frequency Methods -- </subfield><subfield code="t">12. High-Frequency Data and Models -- </subfield><subfield code="t">Part V. Inferences from Option Prices -- </subfield><subfield code="t">13. Continuous-Time Stochastic Processes -- </subfield><subfield code="t">14. Option Pricing Formulae -- </subfield><subfield code="t">15. Forecasting Volatility -- </subfield><subfield code="t">16. Density Prediction for Asset Prices -- </subfield><subfield code="t">Symbols -- </subfield><subfield code="t">References -- </subfield><subfield code="t">Author Index -- </subfield><subfield code="t">Subject Index</subfield></datafield><datafield tag="506" ind1="0" ind2=" "><subfield code="a">restricted access</subfield><subfield code="u">http://purl.org/coar/access_right/c_16ec</subfield><subfield code="f">online access with authorization</subfield><subfield code="2">star</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="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 theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.</subfield></datafield><datafield tag="530" ind1=" " ind2=" "><subfield code="a">Issued also in print.</subfield></datafield><datafield tag="538" ind1=" " ind2=" "><subfield code="a">Mode of access: Internet via World Wide Web.</subfield></datafield><datafield tag="546" ind1=" " ind2=" "><subfield code="a">In English.</subfield></datafield><datafield tag="588" ind1="0" ind2=" "><subfield code="a">Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021)</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Capital assets pricing model.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Finance</subfield><subfield code="x">Mathematical models.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS / Finance / General.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Title is part of eBook package:</subfield><subfield code="d">De Gruyter</subfield><subfield code="t">Princeton University Press eBook-Package Backlist 2000-2013</subfield><subfield code="z">9783110442502</subfield></datafield><datafield tag="776" ind1="0" ind2=" "><subfield code="c">print</subfield><subfield code="z">9780691134796</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1515/9781400839254</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://www.degruyter.com/isbn/9781400839254</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="3">Cover</subfield><subfield code="u">https://www.degruyter.com/cover/covers/9781400839254.jpg</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">978-3-11-044250-2 Princeton University Press eBook-Package Backlist 2000-2013</subfield><subfield code="c">2000</subfield><subfield code="d">2013</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">EBA_BACKALL</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">EBA_CL_LAEC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">EBA_EBACKALL</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">EBA_EBKALL</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">EBA_ECL_LAEC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">EBA_EEBKALL</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">EBA_ESSHALL</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">EBA_ESTMALL</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">EBA_PPALL</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">EBA_SSHALL</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">EBA_STMALL</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV-deGruyter-alles</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">PDA11SSHE</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">PDA12STME</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">PDA13ENGE</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">PDA17SSHEE</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">PDA18STMEE</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">PDA5EBK</subfield></datafield></record></collection> |