| |
| |
Preface | |
| |
| |
Abbreviations and Acronyms | |
| |
| |
About the Authors | |
| |
| |
| |
Financial Econometrics: Scope and Methods | |
| |
| |
The Data Generating Process | |
| |
| |
Financial Econometrics at Work | |
| |
| |
Time Horizon of Models | |
| |
| |
Applications | |
| |
| |
Appendix: Investment Management Process | |
| |
| |
Concepts Explained in this Chapter (in order of presentation) | |
| |
| |
| |
Review of Probability and Statistics.Concepts of Probability | |
| |
| |
Principles of Estimation | |
| |
| |
Bayesian Modeling | |
| |
| |
| |
Information Structures | |
| |
| |
| |
Filtration | |
| |
| |
Concepts Explained in this Chapter (in order of presentation) | |
| |
| |
| |
Regression Analysis: Theory and Estimation.The Concept of Dependence | |
| |
| |
Regressions and Linear Models | |
| |
| |
Estimation of Linear Regressions | |
| |
| |
Sampling Distributions of Regressions | |
| |
| |
Determining the Explanatory Power of a Regression | |
| |
| |
Using Regression Analysis in Finance | |
| |
| |
Stepwise Regression | |
| |
| |
Nonnormality and Autocorrelation of the Residuals | |
| |
| |
Pitfalls of Regressions | |
| |
| |
Concepts Explained in this Chapter (in order of presentation) | |
| |
| |
| |
Selected Topics in Regression Analysis.Categorical and Dummy Variables in Regression Models | |
| |
| |
Constrained Least Squares | |
| |
| |
The Method of Moments and its Generalizations.Concepts Explained in this Chapter (in order of presentation) | |
| |
| |
| |
Regression Applications in Finance | |
| |
| |
Applications to the Investment Management Process | |
| |
| |
A Test of Strong-Form Pricing Efficiency | |
| |
| |
Tests of the CAPM | |
| |
| |
Using the CAPM to Evaluate Manager Performance: The Jensen Measure | |
| |
| |
Evidence for Multifactor Models | |
| |
| |
Benchmark Selection: Sharpe Benchmarks.Return-Based Style Analysis for Hedge Funds | |
| |
| |
Hedge Fund Survival | |
| |
| |
Bond Portfolio Applications | |
| |
| |
Concepts Explained in this Chapter (in order of presentation) | |
| |
| |
| |
Modeling Univariate Time Series | |
| |
| |
Difference Equations | |
| |
| |
Terminology and Definitions | |
| |
| |
Stationarity and Invertibility of ARMA Processes | |
| |
| |
Linear Processes | |
| |
| |
Identification Tools | |
| |
| |
Concepts Explained in this Chapter (in order of presentation) | |
| |
| |
| |
Approaches to ARIMA Modeling and Forecasting.Overview of Box-Jenkins Procedure | |
| |
| |
Identification of Degree of Differencing.Identification of Lag Orders | |
| |
| |
Model Estimation | |
| |
| |
Diagnostic Checking | |
| |
| |
Forecasting | |
| |
| |
Concepts Explained in this Chapter (in order of presentation) | |
| |
| |
| |
Autoregressive Conditional Heteroskedastic Models | |
| |
| |
ARCH Process | |
| |
| |
GARCH Process | |
| |
| |
Estimation of the GARCH Models | |
| |
| |
Stationary ARMA-GARCH Models | |
| |
| |
Lagrange Multiplier Test | |
| |
| |
Variants of the GARCH Model | |
| |
| |
GARCH Model with Student''s t-Distributed Innovations | |
| |
| |
Multivariate GARCH Formulations | |
| |
| |
Appendix: Analysis of the Properties of the GARCH(1,1) Model | |
| |
| |
Concepts Explained in this Chapter (in order of presentation) | |
| |
| |
| |
Vector Autoregressive Models I | |
| |
| |
VAR Models Defined | |
| |
| |
Stationary Autoregressive Distributed Lag Models | |
| |
| |
Vector Autoregressive Moving Average Models | |
| |
| |
Forecasting with VAR Models | |
| |
| |
Appendix: Eigenvectors and Eigenvalues | |
| |
| |
Concepts Explained in this Chapter (in order of presentation) | |
| |
| |
| |
Vector Autoregressive Models II | |
| |
| |
Estimation of Stable VAR Models | |
| |
| |
Estimating the Number of Lags | |
| |
| |
Autocorrelation and Distributional Properties of Residuals | |
| |
| |
VAR Illustration | |
| |
| |
Concepts Explained in this Chapter (in order of presentation) | |
| |
| |
| |
Cointegration and State Space Models | |
| |
| |
Cointegration | |
| |
| |
Error Correction Models | |
| |
| |
Theory and Methods of Estimation of Nonstationary VAR Models | |
| |
| |
State-Space Models | |
| |
| |
Concepts Explained in this Chapter (in order of presentation) | |
| |
| |
| |
Robust Estimation | |
| |
| |
Robust Statistics | |
| |
| |
Robust Estimators of Regressions | |
| |
| |
Illustration: Robustness of the Corporate Bond Yield Spread Model.Concepts Explained in this Chapter (in order of presentation) | |
| |
| |
| |
Principal Components Analysis and Factor Analysis | |
| |
| |
Factor Models | |
| |
| |
Principal Components Analysis | |
| |
| |
Factor Analysis.PCA and Factor Analysis Compared.Concepts Explained in this Chapter (in order of presentation) | |
| |
| |
| |
Heavy-Tailed and Stable Distributions in Financial Econometrics | |
| |
| |
Basic Facts and Definitions of Stable Distributions | |
| |
| |
Properties of Stable Distributions | |
| |
| |
Estimation of the Parameters of the Stable Distribution | |
| |
| |
Applications to German Stock Da | |