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

000 -LEADER
fixed length control field 01536nam a22002057a 4500
003 - CONTROL NUMBER IDENTIFIER
control field OSt
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20220929111645.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
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020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9780691134796
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
Extent xv, 525 pp.
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note Introduction;<br/>I. Foundations:<br/>Prices and Returns;<br/>Stochastic Processes: Definitions and Examples;<br/>Stylized Facts for Financial Returns;<br/>II. Conditional Expected Returns:<br/>The Variance-Ratio Test of the Random Walk Hypothesis;<br/>Further Tests of the Random Walk Hypothesis;<br/>Trading Rules and Market Efficiency;<br/>III. Volatility Processes:<br/>An Introduction to Volatility;<br/>ARCH Models: Definitions and Examples;<br/>ARCH Models: Selection and Likelihood Methods;<br/>Stochastic Volatility Models;<br/>IV. High-Frequency Methods:<br/>High-Frequency Data and Models;<br/>V. Inferences from Option Prices:<br/>Continuous-Time Stochastic Processes;<br/>Option Pricing Formulae;<br/>Forecasting Volatility;<br/>Density Prediction for Asset Prices
520 ## - SUMMARY, ETC.
Summary, etc. Stephen Taylor applies methods supported by research of equity and foreign exchange markets to demonstrate 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Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Collection code Home library Current library Shelving location Date acquired Source of acquisition Inventory number Full call number Accession No. Date last seen Copy number Price effective from Koha item type
          Mathematics ICTS ICTS Rack No 01 09/28/2022 Gifted by CAM (Prof. A.S. Vasudeva Murthy) Gratis HG4636 02575 03/22/2024 1 09/29/2022 Book