The Econometric Modelling of Financial Time SeriesCambridge University Press, 2008 M03 20 - 468 páginas Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing. |
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Página 15
... figure 2.1, along with generated data from the processes with at assumed to be normally and independently distributed with 21⁄425, denoted at $NID(0,25), and with starting value x0 1⁄40. With >0 (c), adjacent values are positively ...
... figure 2.1, along with generated data from the processes with at assumed to be normally and independently distributed with 21⁄425, denoted at $NID(0,25), and with starting value x0 1⁄40. With >0 (c), adjacent values are positively ...
Página 16
... Figure 2.1 (continued) 2.3.2 Moving average processes Now consider the model obtained by. 10 20 30 40 50 60 70 80 90 100 Figure 2.4 Simulations of various AR(2) processes. 16 The Econometric Modelling of Financial Time Series.
... Figure 2.1 (continued) 2.3.2 Moving average processes Now consider the model obtained by. 10 20 30 40 50 60 70 80 90 100 Figure 2.4 Simulations of various AR(2) processes. 16 The Econometric Modelling of Financial Time Series.
Página 18
... Figure 2.2 presents plots of generated data from two MA(1) processes with (a) 1⁄40.8 and (b) 1⁄4À0.8, in each case with at $NID(0,25). On comparison of these plots with those of the AR(1) processes in figure 2.1, it is seen that ...
... Figure 2.2 presents plots of generated data from two MA(1) processes with (a) 1⁄40.8 and (b) 1⁄4À0.8, in each case with at $NID(0,25). On comparison of these plots with those of the AR(1) processes in figure 2.1, it is seen that ...
Página 19
... Figure 2.2 (continued) are such that |g,|<l for i = 1,2, ...,p, an equivalent phrase being that the roots gf1 all lie outside the unit circle. The behaviour of the ACF is determined by the difference equation 4(B) pk = 0, fc>0 (2.6) ...
... Figure 2.2 (continued) are such that |g,|<l for i = 1,2, ...,p, an equivalent phrase being that the roots gf1 all lie outside the unit circle. The behaviour of the ACF is determined by the difference equation 4(B) pk = 0, fc>0 (2.6) ...
Página 20
... figure 2.3. If g1 and g2 are real (cases (a) and (b)), the –1.0 –0.5 0.0 0.5 1.0 1 2 3 4 5 6 7 8 9 10 11 12 k k (a) f1=0.5,f2 = 0.3 1.0 0.5 0.0 –0.5 –1.0 1 2 3 4 5 6 7 8 9 10 11 12 k r k (b) f1 = 1,f2 = –0.5 Figure 2.3 ACFs of various ...
... figure 2.3. If g1 and g2 are real (cases (a) and (b)), the –1.0 –0.5 0.0 0.5 1.0 1 2 3 4 5 6 7 8 9 10 11 12 k k (a) f1=0.5,f2 = 0.3 1.0 0.5 0.0 –0.5 –1.0 1 2 3 4 5 6 7 8 9 10 11 12 k r k (b) f1 = 1,f2 = –0.5 Figure 2.3 ACFs of various ...
Términos y frases comunes
À Á allow alternative analysis approach approximation ARCH assumed assumption asymptotic autocorrelation average behaviour bilinear cent changes chapter cointegration component computed conditional consider consistent constant contain converges correction correlation critical values ð Þ defined dependence developed discussed distribution effect empirical equation error estimated evidence example expected extension Figure financial first forecast function future GARCH given Granger hypothesis implies important independent integrated interest known limiting linear mean noise non-linear normal Note null observations obtained parameters period positive possible present procedure properties proposed provides random walk ratio regression rejected relationship requires residuals respectively response restrictions returns sample shown shows significant simple squared standard stationary statistic stochastic suggest tail trend unit root values variables variance vector volatility written yields zero
Pasajes populares
Página 12 - A stochastic process is said to be strictly stationary if its properties are unaffected by a change of time origin, that is, if the joint probability distribution associated with m observations...
Referencias a este libro
Probability Theory and Statistical Inference: Econometric Modeling with ... Aris Spanos Vista previa limitada - 1999 |
Extreme Financial Risks: From Dependence to Risk Management Yannick Malevergne,Didier Sornette Sin vista previa disponible - 2006 |