ARCH Models and Financial Applications (Springer Series in Statistics) - Hardcover

Inhaltsangabe

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 theCAPM.- 9.3 Examples of Structural Models.

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