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ARCH Models and Financial Applications

Bibliographic Details
Main Author: Gourieroux, Christian
Format: eBook
Language:English
Published: New York, NY Springer New York 1997, 1997
Edition:1st ed. 1997
Series:Springer Series in Statistics
Subjects:
Statistics 
Statistics In Business, Management, Economics, Finance, Insurance
Quantitative Economics
Econometrics
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Table of Contents:
  • 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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