Taylor, Stephen J.

Asset price dynamics, volatility, and prediction - New Jersey Princeton University Press 2005 - xv, 525 pp.

1. Introduction;

I. Foundations:
2. Prices and Returns;
3. Stochastic Processes: Definitions and Examples;
4. Stylized Facts for Financial Returns;

II. Conditional Expected Returns:
5. The Variance-Ratio Test of the Random Walk Hypothesis;
6. Further Tests of the Random Walk Hypothesis;
7. Trading Rules and Market Efficiency;

III. Volatility Processes:
8. An Introduction to Volatility;
9. ARCH Models: Definitions and Examples;
10. ARCH Models: Selection and Likelihood Methods;
11. Stochastic Volatility Models;

IV. High-Frequency Methods:
12. High-Frequency Data and Models;

V. Inferences from Option Prices:
13. Continuous-Time Stochastic Processes;
14. Option Pricing Formulae;
15. Forecasting Volatility;
16. Density Prediction for Asset Prices

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.

9780691134796


Social Sciences: Finance

HG4636