000			01536nam a22002057a 4500
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008			220929b |||||||| |||| 00| 0 eng d
020			_a9780691134796
040			_cICTS
050			_aHG4636
100			_aTaylor, Stephen J.
245			_aAsset price dynamics, volatility, and prediction
260			_aNew Jersey _bPrinceton University Press _c2005
300			_axv, 525 pp.
505			_aIntroduction; I. Foundations: Prices and Returns; Stochastic Processes: Definitions and Examples; Stylized Facts for Financial Returns; II. Conditional Expected Returns: The Variance-Ratio Test of the Random Walk Hypothesis; Further Tests of the Random Walk Hypothesis; Trading Rules and Market Efficiency; III. Volatility Processes: An Introduction to Volatility; ARCH Models: Definitions and Examples; ARCH Models: Selection and Likelihood Methods; Stochastic Volatility Models; IV. High-Frequency Methods: High-Frequency Data and Models; V. Inferences from Option Prices: Continuous-Time Stochastic Processes; Option Pricing Formulae; Forecasting Volatility; Density Prediction for Asset Prices
520			_aStephen 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			_aSocial Sciences: Finance
942			_2lcc _cBK
999			_c3201 _d3201