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Author: Stephen Satchell
Publisher: Elsevier
ISBN: 0080471420
Category : Business & Economics
Languages : en
Pages : 428
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Book Description
Forecasting Volatility in the Financial Markets, Third Edition 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 - Leading thinkers present newest research on volatility forecasting - International authors cover a broad array of subjects related to volatility forecasting - Assumes basic knowledge of volatility, financial mathematics, and modelling
Author: Stephen Satchell
Publisher: Elsevier
ISBN: 0080471420
Category : Business & Economics
Languages : en
Pages : 428
Get Book Here
Book Description
Forecasting Volatility in the Financial Markets, Third Edition 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 - Leading thinkers present newest research on volatility forecasting - International authors cover a broad array of subjects related to volatility forecasting - Assumes basic knowledge of volatility, financial mathematics, and modelling
Author: Jaesun Noh
Publisher:
ISBN:
Category : Forecasting
Languages : en
Pages : 282
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Book Description
Author: Christophe Deissenberg
Publisher: Springer Science & Business Media
ISBN: 0387258051
Category : Business & Economics
Languages : en
Pages : 351
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Book Description
Optimal Control and Dynamic Games has been edited to honor the outstanding contributions of Professor Suresh Sethi in the fields of Applied Optimal Control. Professor Sethi is internationally one of the foremost experts in this field. He is, among others, co-author of the popular textbook "Sethi and Thompson: Optimal Control Theory: Applications to Management Science and Economics". The book consists of a collection of essays by some of the best known scientists in the field, covering diverse aspects of applications of optimal control and dynamic games to problems in Finance, Management Science, Economics, and Operations Research. In doing so, it provides both a state-of-the-art overview over recent developments in the field, and a reference work covering the wide variety of contemporary questions that can be addressed with optimal control tools, and demonstrates the fruitfulness of the methodology.
Author: M. Agarwal
Publisher: Springer
ISBN: 1137359927
Category : Business & Economics
Languages : en
Pages : 258
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Book Description
This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 540
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Book Description
Author: Greg N. Gregoriou
Publisher: John Wiley & Sons
ISBN: 1118160959
Category : Business & Economics
Languages : en
Pages : 360
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Book Description
Authoritative, up-to-date research and analysis that provides a dramatic new understanding of the rewards-and risks-of investing in CTAs Commodity Trading Advisors (CTAs) are an increasingly popular and potentially profitable investment alternative for institutional investors and high-net-worth individuals. Commodity Trading Advisors is one of the first books to study their performance in detail and analyze the "survivorship bias" present in CTA performance data. This book investigates the many benefits and risks associated with CTAs, examining the risk/return characteristics of a number of different strategies deployed by CTAs from a sophisticated investor's perspective. A contributed work, its editors and contributing authors are among today's leading voices on the topic of commodity trading advisors and a veritable "Who's Who" in hedge fund and CTA research. Greg N. Gregoriou (Plattsburgh, NY) is a Visiting Assistant Professor of Finance and Research Coordinator in the School of Business and Economics at the State University of New York. Vassilios N. Karavas (Amherst, MA) is Director of Research at Schneeweis Partners. Francois-Serge Lhabitant (Coppet, Switzerland) is a FAME Research Fellow, and a Professor of Finance at EDHEC (France) and at HEC University of Lausanne (Switzerland). Fabrice Rouah (Montreal, Quebec) is Institut de Finance Mathématique de Montréal Scholar in the finance program at McGill University.
Author: Zuriati Ahmad Zukarnain
Publisher: European Alliance for Innovation
ISBN: 1631903691
Category : Computers
Languages : en
Pages : 2599
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Book Description
The 2022 International Conference on Information Economy, Data Modeling and Cloud Computing (ICIDC 2022) was successfully held in Qingdao, China from June 17 to 19, 2022. Under the impact of COVID-19, ICIDC 2022 was held adopting a combination of online and offline conference. During this conference, we were greatly honored to have Prof Datuk Dr Hj Kasim Hj Md Mansur from Universiti Malaysia Sabah, Malaysia to serve as our Conference Chairman. And there were 260 individuals attending the conference. The conference agenda was composed of keynote speeches, oral presentations, and online Q&A discussion. The proceedings of ICIDC 2022 cover various topics, including Big Data Finance, E-Commerce and Digital Business, Modeling Method, 3D Modeling, Internet of Things, Cloud Computing Platform, etc. All the papers have been checked through rigorous review and processes to meet the requirements of publication. Data modeling allows us to obtain the dynamic change trend of various indicator data, so how to use big data information to model and study the development trend of economic operation plan is of great significance. And that is exactly the purpose of this conference, focusing on the application of big data in the economic field as well as conducting more profound research in combination with cloud computing.
Author: Jens Carsten Jackwerth
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Ser-Huang Poon
Publisher: John Wiley & Sons
ISBN: 0470856157
Category : Business & Economics
Languages : en
Pages : 236
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Book Description
Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
Author: Wayne Ferson
Publisher: MIT Press
ISBN: 0262039370
Category : Business & Economics
Languages : en
Pages : 497
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Book Description
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
