A Practical Guide to Forecasting Financial Market Volatility

Ser-Huang Poon - Collection Wiley Finance

220 pages, parution le 09/05/2005

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Résumé

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.

L'auteur - Ser-Huang Poon

Dr Ser-Huang Poon was promoted to Professor of Finance at Manchester University in 2003. Prior to that, she was a senior lecturer at Strathclyde University. Ser-Huang graduated from the National University of Singapore and obtained her masters and PhD from Lancaster University, UK. She has researched financial market volatility for many years and has published in many top ranking peer reviewed finance and financial econometric journals with many co-authors from around the world. Her financial market volatility work was cited as a reference reading on the Nobel web site in 2003.

Sommaire

Foreword by Clive Granger
Preface
Volatility Definition and Estimation
Volatility Forecast Evaluation
Historical Volatility Models
Arch
Linear and Nonlinear Long Memory Models
Stochastic Volatility
Multivariate Volatility Models
Black-Scholes
Option Pricing with Stochastic Volatility
Option Forecasting Power
Volatility Forecasting Records
Volatility Models in Risk Management
VIX and Recent Changes in VIX
Where Next?
Appendix
References
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Ser-Huang Poon
Collection	Wiley Finance
Parution	09/05/2005
Nb. de pages	220
Format	16 x 23,5
Couverture	Relié
Poids	495g
Intérieur	Noir et Blanc
EAN13	9780470856130
ISBN13	978-0-470-85613-0