Asset Price Dynamics, Volatility, and Prediction

Stephen Taylor

526 pages, parution le 04/10/2005

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Résumé

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 theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions.

Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.

L'auteur - Stephen Taylor

Stephen J. Taylor is Professor of Finance at Lancaster University, England. He is the author of Modelling Financial Time Series and many influential articles about applications of financial econometrics.

Sommaire

Preface
Introduction
Foundations
Conditional Expected Returns
Volatility Processes
High-Frequency Methods
Inferences from Option Prices
Symbols
References
Author Index
Subject Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Princeton University Press
Auteur(s)	Stephen Taylor
Parution	04/10/2005
Nb. de pages	526
Format	16 x 24
Couverture	Relié
Poids	921g
Intérieur	Noir et Blanc
EAN13	9780691115375
ISBN13	978-0-691-11537-5