Asset price dynamics, volatility, and prediction

Abstract

1. Introduction -- PART I: Foundations -- 2. Prices and Returns -- 3. Stochastic Processes: Definitions and Examples -- 4. Stylized Facts for Financial Returns -- PART II: Conditional Expected Returns -- 5. The Variance-Ratio Test of the Random Walk Hypothesis -- 6. Further Tests of the Random Walk Hypothesis -- 7. Trading Rules and Market Efficiency -- PART III: Volatility Processes -- 8. An Introduction to Volatility -- 9. ARCH Models: Definitions and Examples -- 10. ARCH Models: Selection and Likelihood Methods -- 11. Stochastic Volatility Models -- PART IV: High-Frequency Methods -- 12. High-Frequency Data and Models -- PART V. Inferences from Option Prices -- 13. Continuous-Time Stochastic Processes -- 14. Option Pricing Formulae -- 15. Forecasting Volatility -- 16. Density Prediction for Asset Prices.