| |
| |
| |
| 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 | |