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Forecasting Volatility in the Financial Markets

金融市场波动预测

Butterworth-Heinemann_RM Satchell, Stephen Knight, John

ISBN：9780750669429，出版年：2011，中图分类号：F8 被引 157次

Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. SilveyLeading thinkers present newest research on volatility forecasting International authors cover a broad array of subjects related to volatility forecastingAssumes basic knowledge of volatility, financial mathematics, and modelling

Volatility smile Implied volatility Volatility swap Stochastic volatility Volatility risk premium Volatility (finance) Variance swap Constant elasticity of variance model Financial economics Economics

Multifractal Volatility -- Theory, Forecasting, and Pricing

理论、评估与预测

Academic Press_RM Calvet, Laurent E Fisher, Adlai J

ISBN：9780121500139，出版年：2008，中图分类号：F7 被引 231次

Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of their book is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters.

Volatility smile Implied volatility Stochastic volatility Volatility (finance) Autoregressive conditional heteroskedasticity Multifractal system Econometrics Economics Classification of discontinuities Equilibrium pricing