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| Preface | |
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| Financial Data and their Properties | |
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| Asset Returns | |
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| Bond Yields and Prices | |
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| Implied Volatility | |
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| R Packages and Demonstrations | |
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| Installation of R Packages | |
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| The Quantmod Package | |
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| Some Basic R Commands | |
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| Examples of Financial Data | |
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| Distributional Properties of Returns | |
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| Review of Statistical Distributions and Their Moments | |
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| Visualization of Financial Data | |
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| Some Statistical Distributions | |
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| Normal Distribution | |
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| Lognormal Distribution | |
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| Stable Distribution | |
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| Scale Mixture of Normal Distributions | |
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| Multivariate Returns | |
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| Exercises | |
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| References | |
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| Linear Models for Financial Time Series | |
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| Stationarity | |
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| Correlation and Autocorrelation Function | |
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| White Noise and Linear Time Series | |
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| Simple Autoregressive Models | |
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| Properties of AR Models | |
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| Identifying AR Models in Practice | |
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| Goodness of Fit | |
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| Forecasting | |
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| Simple Moving Average Models | |
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| Properties of MA Models | |
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| Identifying MA Order | |
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| Estimation | |
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| Forecasting Using MA Models | |
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| Simple ARMA Models | |
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| Properties of ARMA (1,1) Models | |
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| General ARMA Models | |
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| Identifying ARMA Models | |
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| Forecasting Using an ARMA Model | |
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| Three Model Representations for an ARMA Model | |
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| Unit-Root Nonstationarity | |
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| Random Walk | |
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| Random Walk with Drift | |
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| Trend-Stationary Time Series | |
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| General Unit-Root Nonstationary Models | |
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| Unit-Root Test | |
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| Exponential Smoothing | |
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| Seasonal Models | |
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| Seasonal Differencing | |
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| Multiplicative Seasonal Models | |
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| Seasonal Dummy Variable | |
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| Regression Models with Time Series Errors | |
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| Long-Memory Models | |
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| Model Comparison and Averaging | |
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| In-sample Comparison | |
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| Out-of-sample Comparison | |
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| Model Averaging | |
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| Exercises | |
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| References | |
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| Case Studies of Linear Time Series | |
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| Weekly Regular Gasoline Price | |
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| Pure Time Series Model | |
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| Use of Crude Oil Prices | |
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| Use of Lagged Crude Oil Prices | |
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| Out-of-Sample Predictions | |
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| Global Temperature Anomalies | |
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| Unit-Root Stationarity | |
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| Trend-Nonstationarity | |
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| Model Comparison | |
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| Long-Term Prediction | |
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| Discussion | |
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| US Monthly Unemployment Rates | |
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| Univariate Time Series Models | |
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| An Alternative Model | |
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| Model Comparison | |
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| Use of Initial Jobless Claims | |
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| Comparison | |
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| Exercises | |
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| References | |
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| Asset Volatility and Volatility Models | |
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| Characteristics of Volatility | |
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| Structure of a Model | |
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| Model Building | |
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| Testing for ARCH Effect | |
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| The ARCH Model | |
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| Properties of ARCH Models | |
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| Advantages and Weaknesses of ARCH Models | |
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| Building an ARCH Model | |
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| Some Examples | |
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| The GARCH Model | |
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| An Illustrative Example | |
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| Forecasting Evaluation | |
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| A Two-Pass Estimation Method | |
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| The Integrated GARCH Model | |
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| The GARCH-M Model | |
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| The Exponential Garch Model | |
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| An Illustrative Example | |
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| An Alternative Model Form | |
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| Second Example | |
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| Forecasting Using an EGARCH Model | |
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| The Threshold Garch Model | |
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| Asymmetric Power ARCH Models | |
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| Nonsymmetric GARCH Model | |
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| The Stochastic Volatility Model | |
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| Long-Memory Stochastic Volatility Models | |
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| Alternative Approaches | |
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| Use of High Frequency Data | |
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| Use of Daily Open, High, Low, and Close Prices | |
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| Exercises | |
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| References | |
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| Applications of Volatility Models | |
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| Garch Volatility Term Structure | |
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| Term Structure | |
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| Option Pricing and Hedging | |
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| Time-Varying Correlations and Betas | |
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| Time-Varying Betas | |
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| Minimum Variance Portfolios | |
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| Prediction | |
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| Exercises | |
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| References | |
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| High Frequency Financial Data | |
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| Nonsynchronous Trading | |
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| Bid-Ask Spread of Trading Prices | |
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| Empirical Characteristics of Trading Data | |
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| Models for Price Changes | |
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| Ordered Probit Model | |
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| A Decomposition Model | |
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| Duration Models | |
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| Diurnal Component | |
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| The ACD Model | |
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| Estimation | |
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| Realized Volatility | |
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| Handling Microstructure Noises | |
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| Discussion | |
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| Some Probability Distributions | |
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| Hazard Function | |
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| Exercises | |
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| References | |
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| Value at Risk | |
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| Risk Measure and Coherence | |
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| Value at Risk (VaR) | |
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| Expected Shortfall | |
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| Remarks on Calculating Risk Measures | |
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| Riskmetrics | |
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| Discussion | |
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| Multiple Positions | |
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| An Econometric Approach | |
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| Multiple Periods | |
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| Quantile Estimation | |
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| Quantile and Order Statistics | |
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| Quantile Regression | |
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| Extreme Value Theory | |
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| Review of Extreme Value Theory | |
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| Empirical Estimation | |
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| Application to Stock Returns | |
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| An Extreme Value Approach to Var | |
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| Discussion | |
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| Multiperiod VaR | |
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| Return Level | |
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| Peaks Over Thresholds | |
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| Statistical Theory | |
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| Mean Excess Function | |
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| Estimation | |
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| An Alternative Parameterization | |
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| The Stationary Loss Processes | |
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| Exercises | |
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| References | |
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| Index | |