Anyone interested in financial markets soon discovers that changes in prices are frequently substantial and always difficult to forecast. This book describes this behavior from a statistical perspective, recording prices at regular intervals, thereby determining trends from which to anticipate future prices and potential volatility of markets.Covers variance ratio and chaos tests.
-- Includes new data sets, including stock returns.
-- Volatility chapters emphasize ARCH models.
-- Includes new chapters on forecasting volatility and options valuation.
- ISBN10 0471953180
- ISBN13 9780471953180
- Publish Date 10 February 1995
- Publish Status Cancelled
- Out of Print 4 February 2005
- Publish Country GB
- Publisher John Wiley and Sons Ltd
- Imprint John Wiley & Sons Ltd
- Edition 2nd ed.
- Format Hardcover
- Pages 320
- Language English