Asset Price Dynamics, Volatility, and Prediction by Stephen J Taylor
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.
Winner of the 2005 BestBook Award, Riskbookcom "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
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.
| SKU | Unavailable |
| ISBN 13 | 9780691134796 |
| ISBN 10 | 0691134790 |
| Title | Asset Price Dynamics, Volatility, and Prediction |
| Author | Stephen J Taylor |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Princeton University Press |
| Year published | 2007-09-02 |
| Number of pages | 544 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |