Modelling and forecasting high frequency financial data
著者
書誌事項
Modelling and forecasting high frequency financial data
Palgrave Macmillan, 2015
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注記
Includes bibliographical references (p.270-273) and index
内容説明・目次
内容説明
The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulence in the financial markets.
This book provides a comprehensive guide to the quantitative analysis of high frequency financial data in the light of current events and contemporary issues, using the latest empirical research and theory. It highlights and explains the shortcomings of theoretical frameworks and provides an explanation of high-frequency theory, emphasising ways in which to critically apply this knowledge within a financial context.
Modelling and Forecasting High Frequency Financial Data combines traditional and updated theories and applies them to real-world financial market situations. It will be a valuable and accessible resource for anyone wishing to understand quantitative analysis and modelling in current financial markets.
目次
Chapter 1: Introduction to High Frequency Financial Modelling.- Chapter 2: Intra-day Realized Volatility Measures.- Chapter 3: Methods of Volatility Estimation and Forecasting.- Chapter 4: Multiple Model Comparison and Hypothesis Framework Construction.- Chapter 5: Realized Volatility Forecasting - Applications.- Chapter 6: Recent Methods: A Review.- Chapter 7: Intraday Hedge Ratios & Option Pricing.
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