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GARCH models : structure, statistical inference and financial applications /
This book provides a complete coverage to GARCH modeling, including probability properties, identifying an appropriate model, estimation and testing, multivariate extensions including EGARCH, TGARCH and APGARCH, volatility features such as asymmetries and financial applications. Many sections are ba...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés Francés |
| Publicado: |
Chichester, West Sussex, U.K. :
John Wiley and Sons,
2010.
|
| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
MARC
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| 100 | 1 | |a Francq, Christian, |e author. | |
| 240 | 1 | 0 | |a Modèles GARCH. |l English |
| 245 | 1 | 0 | |a GARCH models : |b structure, statistical inference and financial applications / |c Christian Francq, Jean-Michel Zakoïan. |
| 246 | 3 | |a General autoregressive conditional heteroskedasticity models | |
| 260 | |a Chichester, West Sussex, U.K. : |b John Wiley and Sons, |c 2010. | ||
| 300 | |a 1 online resource (xiv, 489 pages) : |b illustrations | ||
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| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a GARCH Models; Contents; Preface; Notation; 1 Classical Time Series Models and Financial Series; 1.1 Stationary Processes; 1.2 ARMA and ARIMA Models; 1.3 Financial Series; 1.4 Random Variance Models; 1.5 Bibliographical Notes; 1.6 Exercises; Part I Univariate GARCH Models; 2 GARCH(p, q) Processes; 3 Mixing*; 4 Temporal Aggregation and Weak GARCH Models; Part II Statistical Inference; 5 Identification; 6 Estimating ARCH Models by Least Squares; 7 Estimating GARCH Models by Quasi-Maximum Likelihood; 8 Tests Based on the Likelihood; 9 Optimal Inference and Alternatives to the QMLE* | |
| 505 | 8 | |a Part III Extensions and Applications10 Asymmetries; 11 Multivariate GARCH Processes; 12 Financial Applications; Part IV Appendices; A Ergodicity, Martingales, Mixing; B Autocorrelation and Partial Autocorrelation; C Solutions to the Exercises; D Problems; References; Index. | |
| 520 | |a This book provides a complete coverage to GARCH modeling, including probability properties, identifying an appropriate model, estimation and testing, multivariate extensions including EGARCH, TGARCH and APGARCH, volatility features such as asymmetries and financial applications. Many sections are based on up to date research, featured in econometric and statistic journals. GARCH models is accessible to a wide audience who have worked in time series analysis and wish to become familiar with the use and modeling techniques specially devoted to financial time series. | ||
| 546 | |a Translated from the French. | ||
| 590 | |a O'Reilly |b O'Reilly Online Learning: Academic/Public Library Edition | ||
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 0 | |a Investments |x Mathematical models. | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 6 | |a Investissements |x Modèles mathématiques. | |
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| 650 | 7 | |a Investments |x Mathematical models. |2 fast |0 (OCoLC)fst00978277 | |
| 700 | 1 | |a Zakoian, Jean-Michel, |e author. | |
| 776 | 0 | 8 | |i Print version: |a Francq, Christian. |t GARCH Models. |d Chichester : John Wiley & Sons, 2010 |z 9780470670040 |w (OCoLC)651601984 |
| 856 | 4 | 0 | |u https://learning.oreilly.com/library/view/~/9780470683910/?ar |z Texto completo (Requiere registro previo con correo institucional) |
| 880 | 0 | |6 505-00/(S |a Contents note continued: 8.8. Exercises -- 9. Optimal Inference and Alternatives to the QMLE -- 9.1. Maximum Likelihood Estimator -- 9.1.1. Asymptotic Behavior -- 9.1.2. One-Step Efficient Estimator -- 9.1.3. Semiparametric Models and Adaptive Estimators -- 9.1.4. Local Asymptotic Normality -- 9.2. Maximum Likelihood Estimator with Misspecified Density -- 9.2.1. Condition for the Convergence of θn, h to θ0 -- 9.2.2. Reparameterization Implying the Convergence of θn, h toθ0 -- 9.2.3. Choice of Instrumental Density h -- 9.2.4. Asymptotic Distribution ofθn, h -- 9.3. Alternative Estimation Methods -- 9.3.1. Weighted LSE for the ARMA Parameters -- 9.3.2. Self-Weighted QMLE -- 9.3.3. Lp Estimators -- 9.3.4. Least Absolute Value Estimation -- 9.3.5. Whittle Estimator -- 9.4. Bibliographical Notes -- 9.5. Exercises -- pt. III Extensions and Applications -- 10. Asymmetries -- 10.1. Exponential GARCH Model -- 10.2. Threshold GARCH Model -- 10.3. Asymmetric Power GARCH Model | |
| 880 | 0 | |6 505-00/(S |a Contents note continued: 12.1. Relation between GARCH and Continuous-Time Models -- 12.1.1. Some Properties of Stochastic Differential Equations -- 12.1.2. Convergence of Markov Chains to Diffusions -- 12.2. Option Pricing -- 12.2.1. Derivatives and Options -- 12.2.2. The Black-Scholes Approach -- 12.2.3. Historic Volatility and Implied Volatilities -- 12.2.4. Option Pricing when the Underlying Process is a GARCH -- 12.3. Value at Risk and Other Risk Measures -- 12.3.1. Value at Risk -- 12.3.2. Other Risk Measures -- 12.3.3. Estimation Methods -- 12.4. Bibliographical Notes -- 12.5. Exercises -- pt. IV Appendices -- A. Ergodicity, Martingales, Mixing -- A.1. Ergodicity -- A.2. Martingale Increments -- A.3. Mixing -- A.3.1.α-Mixing and β-Mixing Coefficients -- A.3.2. Covariance Inequality -- A.3.3. Central Limit Theorem -- B. Autocorrelation and Partial Autocorrelation -- B.1. Partial Autocorrelation -- B.2. Generalized Bartlett Formula for Nonlinear Processes | |
| 880 | 0 | |6 505-00/(S |a Contents note continued: 7.1.2. The ARCH (1) Case: Numerical Evaluation of the Asymptotic Variance -- 7.1.3. The Nonstationary ARCH(1) -- 7.2. Estimation of ARMA-GARCH Models by Quasi-Maximum Likelihood -- 7.3. Application to Real Data -- 7.4. Proofs of the Asymptotic Results -- 7.5. Bibliographical Notes -- 7.6. Exercises -- 8. Tests Based on the Likelihood -- 8.1. Test of the Second-Order Stationarity Assumption -- 8.2. Asymptotic Distribution of the QML When θ0 is at the Boundary -- 8.2.1.Computation of the Asymptotic Distribution -- 8.3. Significance of the GARCH Coefficients -- 8.3.1. Tests and Rejection Regions -- 8.3.2. Modification of the Standard Tests -- 8.3.3. Test for the Nullity of One Coefficient -- 8.3.4. Conditional Homoscedasticity Tests with ARCH Models -- 8.3.5. Asymptotic Comparison of the Tests -- 8.4. Diagnostic Checking with Portmanteau Tests -- 8.5. Application: Is the GARCH(1, 1) Model Overrepresented-- 8.6. Proofs of the Main Results -- 8.7. Bibliographical Notes | |
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