Forecasting Volatility in the Financial Markets

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John L. Knight, Stephen Satchell
Butterworth-Heinemann, 2002 - Business & Economics - 407 pages
2 Reviews
'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
 

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Contents

IV
1
V
47
VI
97
VII
117
VIII
137
IX
168
X
193
XI
226
XIII
251
XIV
287
XV
307
XVI
321
XVII
347
XVIII
366
XIX
399
Copyright

XII
245

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About the author (2002)

Carolyn Jenkins works at the Centre of the Study of African Economies at the University of Oxford and at the Centre for Research into Economics and Finance in Southern Africa, London School of Economics and Political Science.
John Knight is Professor and Head of the Department of Economics at the University of Oxford.

Satchell is a Fellow of Trinity College, the Reader of Financial Econometrics at the University of Cambridge and a Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney.

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