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    Forecasting Volatility in the Financial Markets
    Forecasting Volatility in the Financial Markets
    Forecasting Volatility in the Financial Markets
    Ebook329 pages10 hours

    Forecasting Volatility in the Financial Markets

    By Stephen Satchell and John Knight

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    About this ebook

    Forecasting Volatility in the Financial Markets, Third Edition 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
    LanguageEnglish
    PublisherElsevier Science
    Release dateFeb 24, 2011
    ISBN9780080471426
    Forecasting Volatility in the Financial Markets
    Author

    Stephen Satchell

    Stephen Satchell is Economics Fellow at Trinity College Cambridge.. He is The Reader in Financial Econometrics (Emeritus) at Cambridge University, and is an Honorary Member of the Institute of Actuaries. He is an academic advisor to numerous financial institutions.

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