Asset price dynamics, volatility, and prediction (Record no. 3201)

000 -LEADER
fixed length control field 01787nam a22002057a 4500
003 - CONTROL NUMBER IDENTIFIER
control field OSt
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20240809131211.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
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020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9780691134796
040 ## - CATALOGING SOURCE
Original cataloging agency ICTS-TIFR
050 ## - LIBRARY OF CONGRESS CALL NUMBER
Classification number HG4636
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Taylor, Stephen J.
245 ## - TITLE STATEMENT
Title Asset price dynamics, volatility, and prediction
260 ## - PUBLICATION, DISTRIBUTION, ETC.
Place of publication, distribution, etc. New Jersey
Name of publisher, distributor, etc. Princeton University Press
Date of publication, distribution, etc. 2005
300 ## - Physical Description
Pages: xv, 525 pp.
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note 1. Introduction;<br/><br/>I. Foundations:<br/>2. Prices and Returns;<br/>3. Stochastic Processes: Definitions and Examples;<br/>4. Stylized Facts for Financial Returns;<br/><br/>II. Conditional Expected Returns:<br/>5. The Variance-Ratio Test of the Random Walk Hypothesis;<br/>6. Further Tests of the Random Walk Hypothesis;<br/>7. Trading Rules and Market Efficiency;<br/><br/>III. Volatility Processes:<br/>8. An Introduction to Volatility;<br/>9. ARCH Models: Definitions and Examples;<br/>10. ARCH Models: Selection and Likelihood Methods;<br/>11. Stochastic Volatility Models;<br/><br/>IV. High-Frequency Methods:<br/>12. High-Frequency Data and Models;<br/><br/>V. Inferences from Option Prices:<br/>13. Continuous-Time Stochastic Processes;<br/>14. Option Pricing Formulae;<br/>15. Forecasting Volatility;<br/>16. Density Prediction for Asset Prices
520 ## - SUMMARY, ETC.
Summary, etc. 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.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Social Sciences: Finance
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme
Koha item type Book
Holdings
Withdrawn status Lost status Damaged status Not for loan Collection code Home library Shelving location Date acquired Inventory number Full call number Accession No. Copy number Koha item type
        Mathematics ICTS Rack No 01 09/28/2022 Gratis HG4636 02575 1 Book