Forecasting Volatility in the Financial Markets / Edition 3

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Overview

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

* 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

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Product Details

  • ISBN-13: 9780750669429
  • Publisher: Elsevier Science
  • Publication date: 3/23/2007
  • Series: Quantitative Finance Series
  • Edition number: 3
  • Pages: 432
  • Product dimensions: 6.81 (w) x 9.42 (h) x 1.16 (d)

Meet the Author

Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.
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Table of Contents

Selected Contents:
What good is a volatility model?
by Robert F. Engle and Andrew J. Patton

Modelling slippage: an application to the bund futures contract by Emmanuel Acar and Edouard Petitdidier

Variations in the mean and volatility of stock returns around turning points of the business cycle by Gabriel Perez-Quiros and Allan Timmermann

Applications of portfolio variety
Dan diBartolomeo

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