Forecasting Volatility in the Financial Markets
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Published By Elsevier

9780750669429

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Preface to third edition

Forecasting Volatility in the Financial Markets ◽

10.1016/b978-075066942-9.50001-7 ◽

2007 ◽

pp. ix

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Implied risk-neutral probability density functions from option prices

Forecasting Volatility in the Financial Markets ◽

10.1016/b978-075066942-9.50011-x ◽

2007 ◽

pp. 201-226 ◽

Cited By ~ 5

Author(s):

Bhupinder Bahra

Keyword(s):

Probability Density ◽

Probability Density Functions ◽

Density Functions ◽

Option Prices ◽

Risk Neutral

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Variations in the mean and volatility of stock returns around turning points of the business cycle

Forecasting Volatility in the Financial Markets ◽

10.1016/b978-075066942-9.50017-0 ◽

2007 ◽

pp. 333-350 ◽

Cited By ~ 3

Author(s):

Gabriel Perez-Quiros ◽

Allan Timmermann

Keyword(s):

Business Cycle ◽

Stock Returns ◽

Turning Points ◽

The Mean ◽

The Business Cycle

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Hashing GARCH

Forecasting Volatility in the Financial Markets ◽

10.1016/b978-075066942-9.50012-1 ◽

2007 ◽

pp. 227-247 ◽

Cited By ~ 1

Author(s):

George A. Christodoulakis ◽

Stephen E. Satchell

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Volatility forecasting in a tick data model

Forecasting Volatility in the Financial Markets ◽

10.1016/b978-075066942-9.50015-7 ◽

2007 ◽

pp. 295-299

Author(s):

L.C.G. Rogers

Keyword(s):

Data Model ◽

Volatility Forecasting ◽

Tick Data

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A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices

Forecasting Volatility in the Financial Markets ◽

10.1016/b978-075066942-9.50006-6 ◽

2007 ◽

pp. 73-100 ◽

Cited By ~ 1

Author(s):

Rob Cornish

Keyword(s):

Realized Variance ◽

Equity Indices

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GARCH processes — some exact results, some difficulties and a suggested remedy

Forecasting Volatility in the Financial Markets ◽

10.1016/b978-075066942-9.50019-4 ◽

2007 ◽

pp. 365-389 ◽

Cited By ~ 3

Author(s):

John L. Knight ◽

Stephen E. Satchell

Keyword(s):

Exact Results ◽

Garch Processes

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Real trading volume and price action in the foreign exchange markets

Forecasting Volatility in the Financial Markets ◽

10.1016/b978-075066942-9.50010-8 ◽

2007 ◽

pp. 187-199

Author(s):

Pierre Lequeux

Keyword(s):

Foreign Exchange ◽

Trading Volume ◽

Foreign Exchange Markets ◽

Exchange Markets

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GARCH predictions and the predictions of option prices

Forecasting Volatility in the Financial Markets ◽

10.1016/b978-075066942-9.50014-5 ◽

2007 ◽

pp. 279-294

Author(s):

John Knight ◽

Stephen E. Satchell

Keyword(s):

Option Prices

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An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility

Forecasting Volatility in the Financial Markets ◽

10.1016/b978-075066942-9.50007-8 ◽

2007 ◽

pp. 101-129 ◽

Cited By ~ 1

Author(s):

Thomas A. Silvey

Keyword(s):

Relative Performance ◽

Garch Models ◽

Simple Rules ◽

Forecasting Volatility

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