Forecasting Volatility in the Financial Markets

ISBN: 9780750655156 出版年：2002 页码：417 Butterworth-Heinemann_RM

Contributors Introduction Volatility modelling in finance Stochastic volatility and option pricing Modelling slippage: an application to the bund futures contract Real trading volume and price action in the foreign exchange markets Implied risk-neutral probability density functions from option prices: a central bank perspective Hashing GARCH: a reassessment of volatility forecasting performance Implied volatility forecasting: a comparison of different procedures including fractionally integrated models with applications to UK equity options GARCH predictions and the predictions of option prices Volatility forecasting in a tick data model An econometric model of downside risk Variations in the mean and volatility of stock returns around turning points of the business cycle Long memory in stochastic volatility GARCH processes - some exact results, some difficulties and a suggested remedy Generating composite volatility forecasts with random factor betas The information content of the FTSE 100 Index Option implied volatility and its structural changes with links to loss aversion Index.