Financial Time Series and Their Characteristics | |
Asset Returns | |
Distributional Properties of Returns | |
Processes Considered | |
Linear time series | |
Stationarity | |
Autocorrelation | |
Linear time series | |
Simple AR models | |
Simple MA models | |
Simple ARMA Models | |
Unit-Root Nonstationarity | |
Seasonal Models | |
Regression with Correlated Errors | |
Consistent Covariance Matrix Estimation | |
Long-Memory Models | |
Volatility models | |
Characteristics of Volatility | |
Structure of a Model | |
Model Building | |
Testing for ARCH Effect | |
The ARCH Model | |
The GARCH Model | |
The Integrated GARCH Model | |
The GARCH-M Model | |
The Exponential GARCH Model | |
The Threshold GARCH Model | |
The CHARMA Model | |
Random Coefficient Autoregressive Models | |
The Stochastic Volatility Model | |
The Long-Memory Stochastic Volatility Model | |
Application | |
Alternative Approaches | |
Kurtosis of GARCH Models | |
Nonlinear Models and Their Applications | |
Nonlinear Models | |
Modeling | |
Forecasting | |
Application | |
High-Frequency Data Analysis and Market Microstructure | |
Nonsynchronous Trading | |
Bid-Ask Spread | |
Empirical Characteristics of Transactions Data | |
Models for Price Changes | |
Duration Models | |
Nonlinear Duration Models | |
Bivariate Models for Price Change and Duration | |
Application | |
Continuous-Time Models and Their Applications | |
Options | |
Some Continuous-Time Stochastic Processes | |
Ito's Lemma | |
Distributions of Price and Return | |
Black-Scholes Equation | |
Black-Scholes Pricing Formulas | |
An Extension of Ito's Lemma | |
Stochastic Integral | |
Jump Diffusion Models | |
Estimation of Continuous-Time Models | |
Extreme Values, Quantiles, and Value at Risk | |
Value at Risk | |
RiskMetrics | |
An Econometric Approach to VaR Calculation | |
Quantile Estimation | |
Extreme Value Theory | |
Extreme Value Approach to VaR | |
A New Approach to VaR | |
The Extremal Index | |
Multivariate Time Series Analysis and Its Applications | |
Weak Stationarity and Cross-Correlation Matrices | |
Vector Autoregressive Models | |
Vector Moving-Average Models | |
Vector ARMA Models | |
Unit-Root Nonstationarity and Cointegration | |
Cointegrated VAR Models | |
Threshold Cointegration and Arbitrage | |
Pairs Trading | |
Principal Component Analysis and Factor Models | |
A Factor Model | |
Macroeconometric Factor Models | |
Fundamental Factor Models | |
Principal Component Analysis | |
Statistical Factor Analysis | |
Asymptotic Principal Component Analysis | |
Multivariate Volatility Models and Their Applications | |
Exponentially Weighted Estimate | |
Some Multivariate GARCH Models | |
Reparameterization | |
GARCH Models for Bivariate Returns | |
Higher Dimensional Volatility Models | |
Factor-Volatility Models | |
Application | |
Multivariate t Distribution | |
State-Space Models and Kalman Filter | |
Local Trend Model | |
Linear State-Space Models | |
Model Transformation | |
Kalman Filter and Smoothing | |
Missing Values | |
Forecasting | |
Application | |
Markov Chain Monte Carlo Methods with Applications | |
Markov Chain Simulation | |
Gibbs Sampling | |
Bayesian Inference | |
Alternative Algorithm | |
Linear Regression With Time Series Errors | |
Missing Values and Outliers | |
Stochastic Volatility Models | |
A New Approach to SV Estimation | |
Markov Switching Models | |
Forecasting | |
Other Applications | |
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