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AuthorGouriรฉroux, Christian. author
TitleARCH Models and Financial Applications [electronic resource] / by Christian Gouriรฉroux
ImprintNew York, NY : Springer New York : Imprint: Springer, 1997
Connect tohttp://dx.doi.org/10.1007/978-1-4612-1860-9
Descript IX, 229 p. online resource

CONTENT

1 Introduction -- 1.1 The Development of ARCH Models -- 1.2 Book Content -- 2 Linear and Nonlinear Processes -- 2.1 Stochastic Processes -- 2.2 Weak and Strict Stationarity -- 2.3 A Few Examples -- 2.4 Nonlinearities -- 2.5 Exercises -- 3 Univariate ARCH Models -- 3.1 A Heteroscedastic Model of Order One -- 3.2 General Properties of ARCH Processes -- 3.3 Exercises -- 4 Estimation and Tests -- 4.1 Pseudo Maximum Likelihood Estimation -- 4.2 Two Step Estimation Procedures -- 4.3 Forecast Intervals -- 4.4 Homoscedasticity Test -- 4.5 The Test Statistic Interpretation -- Appendix 4.1: Matrices I and J -- Appendix 4.2: Derivatives of the Log-Likelihood Function and Information Matrix for a Regression Model with ARCH Errors -- 4.6 Exercises -- 5 Some Applications of Univariate ARCH Models -- 5.1 Leptokurtic Aspects of Financial Series and Aggregation -- 5.2 ARCH Processes as an Approximation of Continuous Time Processes -- 5.3 The Random Walk Hypothesis -- 5.4 Threshold Models -- 5.5 Integrated Models -- 5.6 Exercises -- 6 Multivariate ARCH Models -- 6.1 Unconstrained Models -- 6.2 Constrained Models -- 6.3 Estimation of Heteroscedastic Dynamic Models -- 7 Efficient Portfolios and Hedging Portfolios -- 7.1 Determination of an Efficient Portfolio -- 7.2 Properties of the Set of Efficient Portfolios -- 7.3 Asymmetric Information and Aggregation -- 7.4 Hedging Portfolios -- 7.5 Empirical Study of Performance Measures -- Appendix 1: Presentation in Terms of Utility -- Appendix 2: Moments of the Truncated Log-Normal Distribution -- Appendix 3: Asymptotic Properties of the Estimators -- 7.6 Exercises -- 8 Factor Models, Diversification and Efficiency -- 8.1 Factor Models -- 8.2 Arbitrage Theory -- 8.3 Efficiency Tests and Diversification -- 8.5 Exercises -- 9 Equilibrium Models -- 9.1 Capital Asset Pricing Model -- 9.2 Test of the CAPM -- 9.3 Examples of Structural Models


Statistics Economic theory Statistics Statistics for Business/Economics/Mathematical Finance/Insurance Economic Theory/Quantitative Economics/Mathematical Methods



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