- Hardcover: 552 pages
- Publisher: Princeton University Press; illustrated edition edition (20 Sep 2005)
- Language English
- ISBN-10: 0691115370
- ISBN-13: 978-0691115375
- Product Dimensions: 23.9 x 16 x 4.1 cm
- Average Customer Review: 5.0 out of 5 stars See all reviews (2 customer reviews)
- Amazon Bestsellers Rank: 194,400 in Books (See Top 100 in Books)
- See Complete Table of Contents
Asset Price Dynamics, Volatility, and Prediction
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Product Description
Review
This book provides thorough, well-presented and concise coverage of asset price dynamics and manages to combine new developments, established issues, theory and application in a practical and refreshing manner. It is well illustrated with time series graphs and tables and has a good balance between theoretical concepts and their practical applications with a mathematical treatment that is not too specialized. -- Anthony F. Gyles, RSS
--This text refers to the
Paperback
edition.
Product Description
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor 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. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. "Asset Price Dynamics, Volatility, and Prediction" is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
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Customer Reviews
Most Helpful Customer Reviews
1 of 2 people found the following review helpful
Format:Paperback
I would highly recommend this book to people who want a simple explanation of asset price dynamics
4 of 7 people found the following review helpful
Format:Hardcover
A lucid, concise, review of the material re asset pricing. Very well written and therefore a pleasure to read for the average student of finance.
Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com:
2 reviews
5 of 5 people found the following review helpful
Good introductory book
22 Dec 2008
Format:Paperback
I've read chapters 1-4 and 8-10. I'm a mathematician and I'm starting now to deal with econometrics. Until now I'm enjoying it because it gives me an idea of the possible problems dealing with real data and techniques to use.
On the other hand it sometimes become very general just making references for the details what can be bad if the reader is a mathematician or a beginner econometrician.
What I enjoyed the most until now were chapters 4 (discussion of returns in a real world and the excel estimations for GARCH in chap 9) especially comprehensive to people that never had to deal with data before.
In general it is a wonderfull book for obtaining an overview idea of finance by the econometricians point of view.
On the other hand it sometimes become very general just making references for the details what can be bad if the reader is a mathematician or a beginner econometrician.
What I enjoyed the most until now were chapters 4 (discussion of returns in a real world and the excel estimations for GARCH in chap 9) especially comprehensive to people that never had to deal with data before.
In general it is a wonderfull book for obtaining an overview idea of finance by the econometricians point of view.
4 of 4 people found the following review helpful
Absolute
2 Aug 2009
Format:Hardcover
This book combines technicality and real-world example. Clear and concise, it covers most of the modern financial econometrics, moreover making it straightforward to go on on your own. Great book.
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