東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Asset price dynamics, volatility, an...

Taylor, Stephen

FindBook

Google Book

Amazon

博客來

Asset price dynamics, volatility, and prediction

紀錄類型:	書目-電子資源 : Monograph/item
正題名/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.
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.
標題:	Capital assets pricing model. -
電子資源:	http://www.jstor.org/stable/10.2307/j.ctt7t66m
ISBN:	9781400839254 (electronic bk.)

Asset price dynamics, volatility, and prediction
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:

646740
Capital assets pricing model.

LC Class. No.: HG4636 / .T348 2011

Dewey Class. No.: 332.60151962

Asset price dynamics, volatility, and prediction
LDR:02322cmm a2200289Ka 4500 001 1956169
003 OCoLC
005 20141031020756.0
006 m o d
007 cr cnu---unuuu
008 150126s2007 njua ob 001 0 eng d
020 $a 9781400839254 (electronic bk.)
020 $a 1400839254 (electronic bk.)
020 $z 9780691134796
020 $z 0691134790
035 $a (OCoLC)705944547 $z (OCoLC)857638123
035 $a ocn705944547
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 1622666
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 646740
650 0 $a Finance $x Mathematical models. $3 578740
856 4 0 $u http://www.jstor.org/stable/10.2307/j.ctt7t66m