Forecasting Expected Returns in the Financial Markets Book

Forecasting Expected Returns in the Financial Markets


  • Author : Stephen Satchell
  • Publisher : Elsevier
  • Release Date : 2011-04-08
  • Genre: Business & Economics
  • Pages : 304
  • ISBN 10 : 9780080550671

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Forecasting Expected Returns in the Financial Markets Book Description :

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives

Financial Modeling of the Equity Market Book
Score: 3
From 3 Ratings

Financial Modeling of the Equity Market


  • Author : Frank J. Fabozzi
  • Publisher : John Wiley & Sons
  • Release Date : 2006-03-31
  • Genre: Business & Economics
  • Pages : 651
  • ISBN 10 : 9780470037690

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Financial Modeling of the Equity Market Book Description :

An inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.

Financial Markets and the Real Economy Book

Financial Markets and the Real Economy


  • Author : John Howland Cochrane
  • Publisher : Now Publishers Inc
  • Release Date : 2005
  • Genre: Business & Economics
  • Pages : 103
  • ISBN 10 : 9781933019154

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Financial Markets and the Real Economy Book Description :

Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

Forecasting Volatility in the Financial Markets Book

Forecasting Volatility in the Financial Markets


  • Author : Stephen Satchell
  • Publisher : Elsevier
  • Release Date : 2011-02-24
  • Genre: Business & Economics
  • Pages : 432
  • ISBN 10 : 9780080471426

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Forecasting Volatility in the Financial Markets Book Description :

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

Predicting Stock Returns Book

Predicting Stock Returns


  • Author : David G McMillan
  • Publisher : Springer
  • Release Date : 2017-11-30
  • Genre: Business & Economics
  • Pages : 136
  • ISBN 10 : 9783319690087

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Predicting Stock Returns Book Description :

This book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price movement. By contributing to our understanding of the factors that cause price movement, this book will be of benefit to researchers, practitioners and policy makers alike.

Financial Risk Forecasting Book

Financial Risk Forecasting


  • Author : Jon Danielsson
  • Publisher : John Wiley & Sons
  • Release Date : 2011-04-20
  • Genre: Business & Economics
  • Pages : 296
  • ISBN 10 : 9781119977117

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Financial Risk Forecasting Book Description :

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The boo

The Econometrics of Financial Markets Book

The Econometrics of Financial Markets


  • Author : John Y. Campbell
  • Publisher : Princeton University Press
  • Release Date : 2012-06-28
  • Genre: Business & Economics
  • Pages : 632
  • ISBN 10 : 9781400830213

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The Econometrics of Financial Markets Book Description :

The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.

Quantitative Investing Book

Quantitative Investing


  • Author : Lingjie Ma
  • Publisher : Springer Nature
  • Release Date :
  • Genre:
  • Pages :
  • ISBN 10 : 9783030472023

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Quantitative Investing Book Description :

Expected Returns Book
Score: 5
From 1 Ratings

Expected Returns


  • Author : Antti Ilmanen
  • Publisher : John Wiley & Sons
  • Release Date : 2011-04-20
  • Genre: Business & Economics
  • Pages : 352
  • ISBN 10 : 1119990777

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Expected Returns Book Description :

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments. Written by a world-renowned industry expert, the reference discusses how to forecast returns under different parameters. Expected returns of major asset classes, investment strategies, and the effects of underlying risk factors such as growth, inflation, liquidity, and different risk perspectives, are also explained. Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns provides extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.

A Practical Guide to Forecasting Financial Market Volatility Book

A Practical Guide to Forecasting Financial Market Volatility


  • Author : Ser-Huang Poon
  • Publisher : John Wiley & Sons
  • Release Date : 2005-08-19
  • Genre: Business & Economics
  • Pages : 236
  • ISBN 10 : 9780470856154

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A Practical Guide to Forecasting Financial Market Volatility 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.

An Introduction to Financial Markets and Institutions Book

An Introduction to Financial Markets and Institutions


  • Author : Maureen Burton
  • Publisher : Routledge
  • Release Date : 2015-03-04
  • Genre: Business & Economics
  • Pages : 700
  • ISBN 10 : 9781317476757

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An Introduction to Financial Markets and Institutions Book Description :

Completely revised and updated to include the ongoing financial crisis and the Obama administration's programs to combat it, this is the best available introductory textbook for an undergraduate course on Financial Markets and Institutions. It provides balanced coverage of theories, policies, and institutions in a conversational style that avoids complex models and mathematics, making it a student-friendly text with many unique teaching features. Financial crises, global competition, deregulation, technological innovation, and growing government oversight have significantly changed financial markets and institutions. The new edition of this text is designed to capture the ongoing changes, and to present an analytical framework that enables students to understand and anticipate changes in the financial system and accompanying changes in markets and institutions. The text includes Learning Objectives and end-of-chapter Key Words and Questions, and an online Instructor's Manual is available to adopters.

Cost of Capital Book

Cost of Capital


  • Author : Shannon P. Pratt
  • Publisher : John Wiley & Sons
  • Release Date : 2014-03-12
  • Genre: Business & Economics
  • Pages : 1344
  • ISBN 10 : 9781118852828

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Cost of Capital Book Description :

A one-stop shop for background and current thinking on the development and uses of rates of return on capital Completely revised for this highly anticipated fifth edition, Cost of Capital contains expanded materials on estimating the basic building blocks of the cost of equity capital, the risk-free rate, and equity risk premium. There is also discussion of the volatility created by the financial crisis in 2008, the subsequent recession and uncertain recovery, and how those events have fundamentally changed how we need to interpret the inputs to the models we use to develop these estimates. The book includes new case studies providing comprehensive discussion of cost of capital estimates for valuing a business and damages calculations for small and medium-sized businesses, cross-referenced to the chapters covering the theory and data. Addresses equity risk premium and the risk-free rate, including the impact of Federal Reserve actions Explores how to use Morningstar's Ibbotson and Duff Phelps Risk Premium Report data Discusses the global cost of capital estimation, including a new size study of European countries Cost of Capital, Fifth Edition puts an emphasis on practical application. To that end, this updated edition provides readers with exclusive access to a companion website filled with supplementary materials, allowing you to continue to learn in a hands-on fashion long after closing the book.

Neural Networks and the Financial Markets Book

Neural Networks and the Financial Markets


  • Author : Jimmy Shadbolt
  • Publisher : Springer Science & Business Media
  • Release Date : 2002-08-06
  • Genre: Business & Economics
  • Pages : 273
  • ISBN 10 : 1852335319

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Neural Networks and the Financial Markets Book Description :

A discussion of financial prediction includes examples that use actual market data showing how to retrieve information from data sets.

Advanced Trading Rules Book

Advanced Trading Rules


  • Author : Emmanual Acar
  • Publisher : Butterworth-Heinemann
  • Release Date : 2002-06-19
  • Genre: Business & Economics
  • Pages : 449
  • ISBN 10 : 075065516X

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Advanced Trading Rules Book Description :

Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought together the world's leading professional and academic experts to explain how to understand, develop and apply cutting edge trading rules and systems. It is indispensable reading if you are involved in the derivatives, fixed income, foreign exchange and equities markets. Advanced Trading Rules demonstrates how to apply econometrics, computer modelling, technical and quantitative analysis to generate superior returns, showing how you can stay ahead of the curve by finding out why certain methods succeed or fail. Profit from this book by understanding how to use: stochastic properties of trading strategies; technical indicators; neural networks; genetic algorithms; quantitative techniques; charts. Financial markets professionals will discover a wealth of applicable ideas and methods to help them to improve their performance and profits. Students and academics working in this area will also benefit from the rigorous and theoretically sound analysis of this dynamic and exciting area of finance. The essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers Provides a complete overview of cutting edge financial markets trading rules, including new material on technical analysis and evaluation Demonstrates how to apply econometrics, computer modeling, technical and quantitative analysis to generate superior returns

Forecasting Volatility in the Financial Markets Book

Forecasting Volatility in the Financial Markets


  • Author : John L. Knight
  • Publisher : Butterworth-Heinemann
  • Release Date : 1998
  • Genre: Literary Criticism
  • Pages : 354
  • ISBN 10 : UCSC:32106014108515

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Forecasting Volatility in the Financial Markets Book Description :

With contributions from leading academics and professional experts, this book is required reading for anyone who needs to understand the significance and impact of volatility in the financial markets. Its key features include a description of how to understand, model and forecast volatility; applications in investment management, trading strategies and financial engineering; and current research on the key forecasting methods to use in risk management.

Nonprofit Asset Management Book

Nonprofit Asset Management


  • Author : Matthew Rice
  • Publisher : John Wiley & Sons
  • Release Date : 2012-02-15
  • Genre: Business & Economics
  • Pages : 240
  • ISBN 10 : 9781118199145

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Nonprofit Asset Management Book Description :

An authoritative guide for effective investment management and oversight of endowments, foundations and other nonprofit investors Nonprofit Asset Management is a timely guide for managing endowment, foundation, and other nonprofit assets. Taking you through each phase of the process to create an elegant and simple framework for the prudent oversight of assets, this book covers setting investment objectives; investment policy; asset allocation strategies; investment manager selection; alternative asset classes; and how to establish an effective oversight system to ensure the program stays on track. Takes you through each phase of the process to create an elegant and simple framework for the prudent oversight of nonprofit assets A practical guide for fiduciaries of endowment, foundation, and other nonprofit funds Offers step-by-step guidance for the effective investment management of assets Created as a practical guide for fiduciaries of nonprofit funds—board members and internal business managers—Nonprofit Asset Management is a much-needed, step-by-step guide to the effective investment management of nonprofit assets.

The Economics of Financial Markets Book
Score: 1
From 1 Ratings

The Economics of Financial Markets


  • Author : Roy E. Bailey
  • Publisher : Cambridge University Press
  • Release Date : 2005-05-26
  • Genre: Business & Economics
  • Pages : 528
  • ISBN 10 : 052184827X

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The Economics of Financial Markets Book Description :

The Economics of Financial Markets presents a concise overview of capital markets, suitable for advanced undergraduates and for beginning graduate students in financial economics. Following a brief overview of financial markets - their microstructure and the randomness of stock market prices - this textbook explores how the economics of uncertainty can be applied to financial decision-making. The mean-variance model of portfolio selection is discussed, with analysis extended to the capital asset pricing model (CAPM). Arbitrage plays a pivotal role in finance and is studied in a variety of contexts, including the APT model of asset prices. Methods for the empirical evaluation of CAPM and APT are also discussed, together with the volatility of asset prices, the intertemporal CAPM and the equity premium puzzle. An analysis of bond contracts leads into an assessment of theories of the term structure of interest rates. Finally, financial derivatives are explored, focusing on futures and options contracts.

The Equity Risk Premium Book

The Equity Risk Premium


  • Author : William N. Goetzmann
  • Publisher : Oxford University Press
  • Release Date : 2006-11-16
  • Genre: Business & Economics
  • Pages : 576
  • ISBN 10 : 019803377X

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The Equity Risk Premium Book Description :

What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.