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 Excerpt :

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

Forecasting Volatility in the Financial Markets Book
Score: 4.5
From 2 Ratings

Forecasting Volatility in the Financial Markets


  • Author : John Knight
  • Publisher : Butterworth-Heinemann
  • Release Date : 2002
  • Genre: Business & Economics
  • Pages : 407
  • ISBN 10 : 0750655151

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Forecasting Volatility in the Financial Markets Excerpt :

'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 then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return. The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and research and an insight into the cutting edge techniques applied in this field of the financial markets. This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets. * Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility. * Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns. * Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls. * Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models. * Students and academics will find the collection of papers an invaluable overview of this field. This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure Current research on the key forecasting methods to use in risk management, including two new chapters

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 Excerpt :

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.

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 Excerpt :

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 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 Excerpt :

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

Forecasting the Volatility of Stock Market and Oil Futures Market Book

Forecasting the Volatility of Stock Market and Oil Futures Market


  • Author : Dexiang Mei
  • Publisher : Scientific Research Publishing, Inc. USA
  • Release Date : 2020-12-17
  • Genre: Business & Economics
  • Pages : 139
  • ISBN 10 : 9781649970480

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Forecasting the Volatility of Stock Market and Oil Futures Market Excerpt :

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.

Multifractal Volatility Book
Score: 4
From 1 Ratings

Multifractal Volatility


  • Author : Laurent E. Calvet
  • Publisher : Academic Press
  • Release Date : 2008-10-13
  • Genre: Business & Economics
  • Pages : 272
  • ISBN 10 : 0080559964

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Multifractal Volatility Excerpt :

Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research

Forecasting Volatility Book

Forecasting Volatility


  • Author : Stephen Figlewski
  • Publisher : Unknown
  • Release Date : 1997
  • Genre: Stock exchanges
  • Pages : 98
  • ISBN 10 : UOM:35128002276812

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Forecasting Volatility Excerpt :

Forecasting Volatility in Financial Markets Book

Forecasting Volatility in Financial Markets


  • Author : Clive W. J. Granger
  • Publisher : Unknown
  • Release Date : 2008
  • Genre: Uncategoriezed
  • Pages : 80
  • ISBN 10 : OCLC:1290314878

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Forecasting Volatility in Financial Markets Excerpt :

Financial market volatility is an important input for investment, option pricing and financial market regulation. In this review article, we compare the volatility forecasting findings in 93 papers published and written in the last two decades. This article is written for general readers in Economics, and its emphasis is on forecasting instead of modelling. We separate the literature into two main streams; the first consists of research papers that formulate volatility forecasts based on historical price information only, while the second includes research papers that make use of volatility implied in option prices.Provided in this paper as well are volatility definitions, insights into problematic issues of forecast evaluation, the effect of data frequency on volatility forecast accuracy, measurement of quot;actualquot; volatility, and the confounding effect of extreme values on volatility forecasting performance. We compare volatility forecasting results across different asset classes, and markets in different geographical regions. Suggestions are made for future research.

Stock Market Volatility Book
Score: 4
From 1 Ratings

Stock Market Volatility


  • Author : Greg N. Gregoriou
  • Publisher : CRC Press
  • Release Date : 2009-04-08
  • Genre: Business & Economics
  • Pages : 651
  • ISBN 10 : 1420099558

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Stock Market Volatility Excerpt :

Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in developed, emerging, and frontier economies. The expert contributors cover stock market volatility modeling, portfolio management, hedge fund volatility, and volatility in developed countries and emerging markets. They present some of the vocational aspects, emphasizing the equity markets. The book approaches the material from the practitioner’s viewpoint and familiarizes readers with how volatility is linked to speculation, trading volume, and information arrival. It also discusses recent trends in forecasting volatility, along with the newly cultivated trading platform of volatility derivatives. Given the current state of high levels of volatility in global stock markets, money managers, financial institutions, investment banks, financial analysts, and others need to improve their understanding of volatility. Examining key aspects of stock market volatility, this comprehensive reference offers novel suggestions for accurately assessing the field.

Volatility and Correlation Book
Score: 4
From 1 Ratings

Volatility and Correlation


  • Author : Riccardo Rebonato
  • Publisher : John Wiley & Sons
  • Release Date : 2005-07-08
  • Genre: Business & Economics
  • Pages : 864
  • ISBN 10 : 9780470091401

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Volatility and Correlation Excerpt :

In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is

Modelling Financial Time Series Book

Modelling Financial Time Series


  • Author : Stephen J. Taylor
  • Publisher : World Scientific
  • Release Date : 2008
  • Genre: Business & Economics
  • Pages : 296
  • ISBN 10 : 9789812770851

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Modelling Financial Time Series Excerpt :

This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.

Pricing Derivative Securities Book

Pricing Derivative Securities


  • Author : Thomas W Epps
  • Publisher : World Scientific Publishing Company
  • Release Date : 2007-06-04
  • Genre: Business & Economics
  • Pages : 644
  • ISBN 10 : 9789814365437

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Pricing Derivative Securities Excerpt :

This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.

Forecasting Financial Market Volatility Book

Forecasting Financial Market Volatility


  • Author : Clive W. J. Granger
  • Publisher : Unknown
  • Release Date : 2001
  • Genre: Uncategoriezed
  • Pages : 43
  • ISBN 10 : OCLC:1290403045

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Forecasting Financial Market Volatility Excerpt :

Financial market volatility is an important input for investment, option pricing and financial market regulation. In this review article, we compare the volatility forecasting findings in 72 papers published and written in the last decade. This article is written for general readers in Economics, and its emphasis is on forecasting instead of modelling. We separate the literature into two main streams; the first consists of research papers that formulate volatility forecasts based on historical price information only, while the second includes research papers that make use of volatility implied in option prices. Provided in this paper as well are volatility definitions, insights into problematic issues of forecast evaluation, the effect of data frequency on volatility forecast accuracy, measurement of quot;actualquot; volatility, the confounding effect of extreme values (e.g. the 1987 stock market crash) on volatility forecasting performance. We compare volatility forecasting results across different asset classes, and markets in different geographical regions. Suggestions are made for future research.

Handbook of Volatility Models and Their Applications Book

Handbook of Volatility Models and Their Applications


  • Author : Luc Bauwens
  • Publisher : John Wiley & Sons
  • Release Date : 2012-03-22
  • Genre: Business & Economics
  • Pages : 568
  • ISBN 10 : 9781118272053

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Handbook of Volatility Models and Their Applications Excerpt :

A complete guide to the theory and practice of volatility modelsin financial engineering Volatility has become a hot topic in this era of instantcommunications, spawning a great deal of research in empiricalfinance and time series econometrics. Providing an overview of themost recent advances, Handbook of Volatility Models and TheirApplications explores key concepts and topics essential formodeling the volatility of financial time series, both univariateand multivariate, parametric and non-parametric, high-frequency andlow-frequency. Featuring contributions from international experts in the field,the book features numerous examples and applications fromreal-world projects and cutting-edge research, showing step by stephow to use various methods accurately and efficiently whenassessing volatility rates. Following a comprehensive introductionto the topic, readers are provided with three distinct sectionsthat unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and StochasticVolatility presents ARCH and stochastic volatility models, with afocus on recent research topics including mean, volatility, andskewness spillovers in equity markets Other Models and Methods presents alternative approaches, suchas multiplicative error models, nonparametric and semi-parametricmodels, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement ofvolatility by realized variances and covariances, guiding readerson how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications isan essential reference for academics and practitioners in finance,business, and econometrics who work with volatility models in theireveryday work. The book also serves as a supplement for courses onrisk management and volatility at the upper-undergraduate andgraduate levels.