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Forecasting Volatility in the Financial Markets


Forecasting Volatility in the Financial Markets
  • Author : Stephen Satchell
  • Publisher : Elsevier
  • Release : 2011-02-24
  • ISBN : 9780080471426
  • Language : En, Es, Fr & De
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This new edition of Forecasting Volatility in the Financial Markets 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. Silvey * Leading thinkers present newest research on volatility forecasting *International authors cover a broad array of subjects related to volatility forecasting *Assumes basic knowledge of volatility, financial mathematics, and modelling

Forecasting Volatility in the Financial Markets


Forecasting Volatility in the Financial Markets
  • Author : John L. Knight
  • Publisher : Butterworth-Heinemann
  • Release : 1998
  • ISBN : UCSC:32106014108515
  • Language : En, Es, Fr & De
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With contributions from leading academics and professional experts, this book is required reading for anyone who needs to understand the significance and impact of volatility in the financial markets. Its key features include a description of how to understand, model and forecast volatility; applications in investment management, trading strategies and financial engineering; and current research on the key forecasting methods to use in risk management.

A Practical Guide to Forecasting Financial Market Volatility


A Practical Guide to Forecasting Financial Market Volatility
  • Author : Ser-Huang Poon
  • Publisher : John Wiley & Sons
  • Release : 2005-08-19
  • ISBN : 9780470856154
  • Language : En, Es, Fr & De
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Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.

Forecasting Volatility in the Financial Markets


Forecasting Volatility in the Financial Markets
  • Author : John Knight
  • Publisher : Butterworth-Heinemann
  • Release : 2002
  • ISBN : 0750655151
  • Language : En, Es, Fr & De
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'Forecasting Volatility in the Financial Markets' 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 then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return. The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and research and an insight into the cutting edge techniques applied in this field of the financial markets. This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets. * Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility. * Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns. * Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls. * Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models. * Students and academics will find the collection of papers an invaluable overview of this field. This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure Current research on the key forecasting methods to use in risk management, including two new chapters

Financial Risk Forecasting


Financial Risk Forecasting
  • Author : Jon Danielsson
  • Publisher : John Wiley & Sons
  • Release : 2011-04-20
  • ISBN : 9781119977117
  • Language : En, Es, Fr & De
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Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.