Forecasting Volatility in the Financial Markets
Published on 30. November 1998
Book
Hardback
304 pages
978-0-7506-4081-7 (ISBN)
Description
An aid to understanding the significance of volatility in the financial market, this text details modelling/forecasting techniques and uses a technical survey to define the models of volatility and return and explain the ways to measure risk. Applications in the financial markets are then detailed.
More details
Language
English
Place of publication
Oxford
United Kingdom
Publishing group
Elsevier Science & Technology
Target group
College/higher education
Professional and scholarly
Illustrations
glossary, index
Dimensions
Height: 234 mm
Width: 156 mm
Weight
680 gr
ISBN-13
978-0-7506-4081-7 (9780750640817)
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Schweitzer Classification
Other editions
New editions
Stephen Satchell | John Knight
Forecasting Volatility in the Financial Markets
Book
08/2002
2nd Edition
Butterworth-Heinemann
€85.41
Article exhausted; check different version
Content
Part 1: understanding volatility and risk; modelling volatility; forecasting volatility; GARCH; stochastic volatility; different measures of risk. Part 2: volatility in the financial markets; using volatility in global tactical asset allocation; volatility in trading strategies; measuring volatility in VAR; riskmetrics treatment of volatility; volatility in risk management; volatility and derivative markets.