ARCH Models and Financial Applications [electronic resource] /
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.
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Format: | Texto biblioteca |
Language: | eng |
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New York, NY : Springer New York : Imprint: Springer,
1997
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Subjects: | Statistics., Economic theory., Statistics for Business/Economics/Mathematical Finance/Insurance., Economic Theory/Quantitative Economics/Mathematical Methods., |
Online Access: | http://dx.doi.org/10.1007/978-1-4612-1860-9 |
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KOHA-OAI-TEST:1832922018-07-30T23:04:19ZARCH Models and Financial Applications [electronic resource] / Gouriéroux, Christian. author. SpringerLink (Online service) textNew York, NY : Springer New York : Imprint: Springer,1997.eng1 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.Springer eBookshttp://dx.doi.org/10.1007/978-1-4612-1860-9URN:ISBN:9781461218609 |
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Statistics. Economic theory. Statistics. Statistics for Business/Economics/Mathematical Finance/Insurance. Economic Theory/Quantitative Economics/Mathematical Methods. Statistics. Economic theory. Statistics. Statistics for Business/Economics/Mathematical Finance/Insurance. Economic Theory/Quantitative Economics/Mathematical Methods. |
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Statistics. Economic theory. Statistics. Statistics for Business/Economics/Mathematical Finance/Insurance. Economic Theory/Quantitative Economics/Mathematical Methods. Statistics. Economic theory. Statistics. Statistics for Business/Economics/Mathematical Finance/Insurance. Economic Theory/Quantitative Economics/Mathematical Methods. Gouriéroux, Christian. author. SpringerLink (Online service) ARCH Models and Financial Applications [electronic resource] / |
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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. |
format |
Texto |
topic_facet |
Statistics. Economic theory. Statistics. Statistics for Business/Economics/Mathematical Finance/Insurance. Economic Theory/Quantitative Economics/Mathematical Methods. |
author |
Gouriéroux, Christian. author. SpringerLink (Online service) |
author_facet |
Gouriéroux, Christian. author. SpringerLink (Online service) |
author_sort |
Gouriéroux, Christian. author. |
title |
ARCH Models and Financial Applications [electronic resource] / |
title_short |
ARCH Models and Financial Applications [electronic resource] / |
title_full |
ARCH Models and Financial Applications [electronic resource] / |
title_fullStr |
ARCH Models and Financial Applications [electronic resource] / |
title_full_unstemmed |
ARCH Models and Financial Applications [electronic resource] / |
title_sort |
arch models and financial applications [electronic resource] / |
publisher |
New York, NY : Springer New York : Imprint: Springer, |
publishDate |
1997 |
url |
http://dx.doi.org/10.1007/978-1-4612-1860-9 |
work_keys_str_mv |
AT gourierouxchristianauthor archmodelsandfinancialapplicationselectronicresource AT springerlinkonlineservice archmodelsandfinancialapplicationselectronicresource |
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1756265077482192896 |