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Asset Price Dynamics, Volatility, and Prediction

Asset Price Dynamics, Volatility, and Prediction Paperback / softback - 2007

by Stephen J. Taylor

  • New
  • Paperback

Description

Paperback / softback. New. 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.
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Details

  • Title Asset Price Dynamics, Volatility, and Prediction
  • Author Stephen J. Taylor
  • Binding Paperback / softback
  • Edition [ Edition: first
  • Condition New
  • Pages 544
  • Volumes 1
  • Language ENG
  • Publisher Princeton University Press, Oxford
  • Date 2007-09-02
  • Illustrated Yes
  • Features Bibliography, Illustrated, Index, Table of Contents
  • Bookseller's Inventory # A9780691134796
  • ISBN 9780691134796 / 0691134790
  • Weight 1.69 lbs (0.77 kg)
  • Dimensions 9.25 x 6.1 x 1.23 in (23.50 x 15.49 x 3.12 cm)
  • Dewey Decimal Code 332

From the rear cover

"I enjoyed reading this book, which offers a close to unique merging of detailed and careful empirics with the finance and time series theory associated with the study of asset pricing dynamics."--Neil Shephard, University of Oxford

"This well written text nicely balances new developments in various areas of theoretical and empirical finance, and it explains in a concise way how various models and methods are related."--Philip Hans Franses, Professor of Applied Econometrics, Econometric Institute, Erasmus University, Rotterdam

About the author

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.