Asset Price Dynamics, Volatility, and Prediction
(Paperback)
Publishing Details
Asset Price Dynamics, Volatility, and Prediction
By (Author) Stephen J. Taylor
Princeton University Press
Princeton University Press
12th November 2007
United States
Classifications
Professional and Scholarly
Non Fiction
332.60151962
Physical Properties
Paperback
544
Width 156mm, Height 235mm
765g
Description
Moving beyond purely theoretical models, the author 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.
Reviews
Winner of the 2005 BestBook Award, Riskbook.com "This book provides thorough, well-presented and concise coverage of asset price dynamics and manages to combine new developments, established issues, theory and application in a practical and refreshing manner. It is well illustrated with time series graphs and tables and has a good balance between theoretical concepts and their practical applications with a mathematical treatment that is not too specialized."--Anthony F. Gyles, RSS
Author Bio
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.
