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| Author | : Xin Huang |
| Publisher | : |
| Total Pages | : 185 |
| Release | : 2007 |
| Genre | : |
| ISBN | : 9781109936216 |
JEL classification. C1, C2, C5, C51, C52, F3, F4, G1, G14.
| Author | : Benoît Perron |
| Publisher | : Montréal : Université de Montréal, Dép. de sciences économiques |
| Total Pages | : 31 |
| Release | : 1999 |
| Genre | : |
| ISBN | : 9782893823843 |
| Author | : Xin Huang |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
| Author | : Stephen Satchell |
| Publisher | : Elsevier |
| Total Pages | : 428 |
| Release | : 2011-02-24 |
| Genre | : Business & Economics |
| ISBN | : 0080471420 |
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 | : Robert J. Shiller |
| Publisher | : MIT Press |
| Total Pages | : 486 |
| Release | : 1992-01-30 |
| Genre | : Business & Economics |
| ISBN | : 9780262691512 |
Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.
| Author | : Peter Tankov |
| Publisher | : CRC Press |
| Total Pages | : 552 |
| Release | : 2003-12-30 |
| Genre | : Business & Economics |
| ISBN | : 1135437947 |
WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
| Author | : George Eugene Tauchen |
| Publisher | : |
| Total Pages | : 60 |
| Release | : 2006 |
| Genre | : Interest rates |
| ISBN | : |
This paper extends the jump detection method based on bi-power variation to identify realized jumps on financial markets and to estimate parametrically the jump intensity, mean, and variance. Finite sample evidence suggests that jump parameters can be accurately estimated and that the statistical inferences can be reliable, assuming that jumps are rare and large. Applications to equity market, treasury bond, and exchange rate reveal important differences in jump frequencies and volatilities across asset classes over time. For investment grade bond spread indices, the estimated jump volatility has more forecasting power than interest rate factors and volatility factors including option-implied volatility, with control for systematic risk factors. A market jump risk factor seems to capture the low frequency movements in credit spreads.
| Author | : George J. Jiang |
| Publisher | : |
| Total Pages | : |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
| Author | : Dexiang Mei |
| Publisher | : Scientific Research Publishing, Inc. USA |
| Total Pages | : 139 |
| Release | : 2020-12-17 |
| Genre | : Business & Economics |
| ISBN | : 164997048X |
The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.
| Author | : Gabriel Mathy |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Stock market volatility was extremely high during the Great Depression relative to any other period in American history. At the same time, large negative and positive discontinuous jumps in stock returns can be detected using the Barndorff-Nielsen and Shephard (2004) test for jumps in financial time-series. These jumps coincided with periods when stock volatility was high as the arrival of new information about the uncertain future drove both the record stock volatility and the record jumps in stock returns. A timeline of the Depression is outlined, with important events that drove uncertainty highlighted such as the collapse of the banking system, policy changes, the breakdown of the gold standard, monetary policy uncertainty, and war jitters.
