Forecasting Volatility in the Financial Markets Book

	List of contributors
	Preface to second edition
	Introduction
1	Volatility modelling in finance	1
2	Stochastic volatility and option pricing	47
3	Modelling slippage: an application to the bund futures contract	97
4	Real trading volume and price action in the foreign exchange markets	117
5	Implied risk-neutral probability density functions from option prices: a central bank perspective	137
6	Hashing GARCH: a reassessment of volatility forecasting performance	168
7	Implied volatility forecasting: a comparison of different procedures including fractionally integrated models with applications to UK equity options	193
8	GARCH predictions and the predictions of option prices	226
9	Volatility forecasting in a tick data model	245
10	An econometric model of downside risk	251
11	Variations in the mean and volatility of stock returns around turning points of the business cycle	287
12	Long memory in stochastic volatility	307
13	GARCH processes - some exact results, some difficulties and a suggested remedy	321
14	Generating composite volatility forecasts with random factor betas	347
15	The information content of the FTSE100 index option implied volatility and its structural changes with links to loss aversion	366
	Index	399