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 3
... random walk' model, in recognition of the similarity of the evolution of a price series to the random stagger of a drunk. Indeed, the term 'random walk' is believed to have first been used in an exchange of correspondence appearing in ...
... random walk' model, in recognition of the similarity of the evolution of a price series to the random stagger of a drunk. Indeed, the term 'random walk' is believed to have first been used in an exchange of correspondence appearing in ...
Página 4
... random walk model. What made the thesis even more remarkable was that it also developed many of the mathematical properties of Brownian motion that had been thought to have first been derived some years later in the physical sciences ...
... random walk model. What made the thesis even more remarkable was that it also developed many of the mathematical properties of Brownian motion that had been thought to have first been derived some years later in the physical sciences ...
Página 5
... random walk behaviour of financial prices is neither a sufficient nor a necessary condition for rationally determined financial prices. Moreover, the assumption in (1.1) that price changes are independent was found to be too restrictive ...
... random walk behaviour of financial prices is neither a sufficient nor a necessary condition for rationally determined financial prices. Moreover, the assumption in (1.1) that price changes are independent was found to be too restrictive ...
Página 6
... random walk is more restrictive than the requirement that yt follows a martingale. The martingale rules out any dependence of the conditional expectation of 1ytþ1 on the information available at t, whereas the random walk rules out not ...
... random walk is more restrictive than the requirement that yt follows a martingale. The martingale rules out any dependence of the conditional expectation of 1ytþ1 on the information available at t, whereas the random walk rules out not ...
Página 42
... random walk. If we allow a constant, 90, to be included, so that Xt = xt_i + 6>0 + flt (2.18) then xt will follow a random walk with drift. If the process starts at t= 0, then t xt = Xq + t90 + ^2 at-i i=0 so that Ht = E(xt) = xo + t0o ...
... random walk. If we allow a constant, 90, to be included, so that Xt = xt_i + 6>0 + flt (2.18) then xt will follow a random walk with drift. If the process starts at t= 0, then t xt = Xq + t90 + ^2 at-i i=0 so that Ht = E(xt) = xo + t0o ...
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 |