Analysis of financial time series, Financial Econometrics. Tsay, R.S. (Анализ финансовых временных рядов)

John Wiley & Sons Inc. , 2002. 458 страниц.

Contents:

Financial Time Series and Their Characteristics
Asset Retus,
Distributional Properties of Retus,
Processes Considered.

Linear Time Series Analysis and Its Applications
Stationarity,
Correlation and Autocorrelation Function,
White Noise and Linear Time Series,
Simple Autoregressive Models,
Simple Moving-Average Models,
Simple ARMA Models,
Unit-Root Nonstationarity,
Seasonal Models,
Regression Models with Time Series Errors,
Long-Memory Models.

Conditional Heteroscedastic Models
Characteristics of Volatility,
Structure of a Model,
The ARCH Model,
The GARCH Model,
The Integrated GARCH Model,
The GARCH-M Model,
The Exponential GARCH Model,
The CHARMA Model,
Random Coefficient Autoregressive Models,
The Stochastic Volatility Model,
The Long-Memory Stochastic Volatility Model,
An Alteative Approach,
Application,
Kurtosis of GARCH Models.

Nonlinear Models and Their Applications
Nonlinear Models,
Nonlinearity Tests,
Modeling,
Forecasting,
Application.

High-Frequency Data Analysis and Market Microstructure
Nonsynchronous Trading,
Bid-Ask Spread,
Empirical Characteristics of Transactions Data,
Models for Price Changes,
Duration Models,
Nonlinear Duration Models,
Bivariate Models for Price Change and Duration.

Continuous-Time Models and Their Applications
Options,
Some Continuous-Time Stochastic Processes,
Ito’s Lemma,
Distributions of Stock Prices and Log Retus,
Derivation of Black–Scholes Differential Equation,
Black–Scholes Pricing Formulas,
An Extension of Ito’s Lemma,
Stochastic Integral,
Jump Diffusion Models,
Estimation of Continuous-Time Models.

Extreme Values, Quantile Estimation, and Value at Risk
Value at Risk,
RiskMetrics,
An Econometric Approach to VaR Calculation,
Quantile Estimation,
Extreme Value Theory,
An Extreme Value Approach to VaR,
A New Approach Based on the Extreme Value Theory.

Multivariate Time Series Analysis and Its Applications
Weak Stationarity and Cross-Correlation Matrixes,
Vector Autoregressive Models,
Vector Moving-Average Models,
Vector ARMA Models,
Unit-Root Nonstationarity and Co-Integration,
Threshold Co-Integration and Arbitrage,
Principal Component Analysis,
Factor Analysis.

Multivariate Volatility Models and Their Applications
Reparameterization,
GARCH Models for Bivariate Retus,
Higher Dimensional Volatility Models,
Factor-Volatility Models,
Application,
Multivariate t Distribution.

Markov Chain Monte Carlo Methods with Applications
Markov Chain Simulation,
Gibbs Sampling,
Bayesian Inference,
Alteative Algorithms,
Linear Regression with Time-Series Errors,
Missing Values and Outliers,
Stochastic Volatility Models,
Markov Switching Models,
Forecasting.