Forecasting Financial Markets (inbunden)
Fler böcker inom
Format
Inbunden (Hardback)
Språk
Engelska
Antal sidor
1296
Utgivningsdatum
2002-04-01
Förlag
Edward Elgar Publishing Ltd
Illustrationer
index
Antal komponenter
2
Komponenter
2 Hardbacks
ISBN
9781840644975
Forecasting Financial Markets (inbunden)

Forecasting Financial Markets

Inbunden Engelska, 2002-04-01
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The forecasting of financial markets has engaged the attention of market professionals and academic economists and statisticians for many years, and has also attracted the interest of numerous `amateur' investors. This book brings together key papers in this wide field. After considering some of the earliest attempts at forecasting, it provides an insight into the theoretical underpinnings of the subject, investigates the random walk model, and examines various financial markets, volatility and density forecasting, the forecasting of extreme events, trading rules, technical analysis and high frequency data.
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Edited by Terence C. Mills, Professor of Applied Statistics and Econometrics, Loughborough University, UK

Innehållsförteckning

Contents: Volume I: Acknowledgements Introduction Terence C. Mills PART I EARLY ATTEMPTS 1. Alfred Cowles (1944), `Stock Market Forecasting' 2. Holbrook Working (1934), `A Random-Difference Series for Use in the Analysis of Time Series' 3. M.G. Kendall (1953), `The Analysis of Economic Time Series - Part 1: Prices' 4. M.F.M. Osborne (1962), `Periodic Structure in the Brownian Motion of Stock Prices' 5. Sidney S. Alexander (1964), `Price Movements in Speculative Markets: Trends or Random Walks, Number 2' PART II THEORETICAL UNDERPINNINGS 6. Benoit Mandelbrot (1966), `Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models' 7. Paul A. Samuelson (1973), `Proof That Properly Discounted Present Values of Assets Vibrate Randomly' 8. Stephen F. LeRoy (1989), `Efficient Capital Markets and Martingales' PART III TESTING THE RANDOM WALK MODEL 9. Victor Niederhoffer and M.F.M. Osborne (1966), `Market Making and Reversal on the Stock Exchange' 10. Michael D. Godfrey, Clive W.J. Granger and Oskar Morgenstern (1964), `The Random-Walk Hypothesis of Stock Market Behavior' 11. Stephen J. Taylor (1980), `Conjectured Models for Trends in Financial Prices, Tests and Forecasts' 12. Matthew Richardson and James H. Stock (1989), `Drawing Inferences from Statistics Based on Multiyear Asset Returns' PART IV STOCK MARKETS 13. Eugene F. Fama (1972), `Components of Investment Performance' 14. Robert C. Merton (1981), `On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts' 15. Roy D. Henriksson and Robert C. Merton (1981), `On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills' 16. Cheng-few Lee and Shafiqur Rahman (1990), `Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation' 17. William Breen, Lawrence R. Glosten and Ravi Jagannathan (1989), `Economic Significance of Predictable Variations in Stock Index Returns' 18. Wayne E. Ferson and Robert A. Korajczyk (1995), `Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?' 19. Shmuel Kandel and Robert F. Stambaugh (1996), `On the Predictability of Stock Returns: An Asset-Allocation Perspective' 20. M. Hashem Pesaran and Allan Timmermann (1995), `Predictability of Stock Returns: Robustness and Economic Significance' 21. M. Hashem Pesaran and Allan Timmermann (2000), `A Recursive Modelling Approach to Predicting UK Stock Returns' PART V FOREIGN EXCHANGE MARKETS 22. Alan C. Stockman (1987), `Economic Theory and Exchange Rate Forecasts' 23. Paul Boothe and Debra Glassman (1987), `Comparing Exchange Rate Forecasting Models: Accuracy versus Profitability' 24. Charles Goodhart (1988), `The Foreign Exchange Market: A Random Walk with a Dragging Anchor' 25. Ronald MacDonald and Mark P. Taylor (1993), `The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium, and Forecasting' 26. Nelson C. Mark (1995), `Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability' Name Index Volume II: Acknowledgements An introduction by the editor to both volumes appears in Volume I PART I OTHER FINANCIAL MARKETS 1. Donald B. Keim and Robert F. Stambaugh (1986), `Predicting Returns in the Stock and Bond Markets' 2. Andrew W. Lo and A. Craig MacKinlay (1997), `Maximizing Predictability in the Stock and Bond Markets' 3. Hendrik Bessembinder and Kalok Chan (1992), `Time-varying Risk Premia and Forecastable Returns in Futures Markets' 4. Alvaro Escribano and Clive W.J. Granger (1998), `Investigating the Relationship between Gold and Silver Prices' PART II VOLATILITY FORECASTING 5. Stephen J. Taylor (1987), `Forecasting the Volatility of Currency Exchange Rates' 6. Philippe Jorion (1995), `Predicting Volatility in the Foreign Exchange Market' 7. Torben G. Andersen and Tim Bollerslev (1998), `Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts' 8. James W. Taylor (1999), `Evaluat