9780387948768 - ARCH Models and Financial Applications (Springer Series in Statistics) von Gourieroux, Christian (14 Ergebnisse)

Hardcover. Zustand: Very Good. Zustand des Schutzumschlags: No Dust Jacket. Springer Series In Statistics; 9.3 X 6.1 X 0.8 inches; 229 pages.

gebundene Ausgabe. Zustand: Gut. 228 Seiten Der Erhaltungszustand des hier angebotenen Werks ist trotz seiner Bibliotheksnutzung sehr sauber und kann entsprechende Merkmale aufweisen (Rückenschild, Instituts-Stempel.). In ENGLISCHER Sprache. Sprache: Englisch Gewicht in Gramm: 510.

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hardcover. Zustand: New. In shrink wrap. Looks like an interesting title!

Zustand: New. pp. 244.

Zustand: New. pp. 244 52:B&W 6.14 x 9.21in or 234 x 156mm (Royal 8vo) Case Laminate on White w/Gloss Lam.

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Buch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 1.1 The DevelopmentofARCH Models Time series models have been initially introduced either for descriptive purposes like prediction and seasonal correction or for dynamic control. In the 1970s, the researchfocusedonaspecificclassoftimeseriesmodels,theso-calledautoregres sive moving average processes (ARMA), which were very easy to implement. In thesemodels,thecurrentvalueoftheseriesofinterestiswrittenasalinearfunction ofits own laggedvalues andcurrentandpastvaluesofsomenoiseprocess, which can be interpreted as innovations to the system. However, this approach has two major drawbacks: 1) it is essentially a linear setup, which automatically restricts the type of dynamics to be approximated; 2) it is generally applied without im posing a priori constraintson the autoregressive and moving average parameters, which is inadequatefor structural interpretations. Among the field ofapplications where standard ARMA fit is poorare financial and monetary problems. The financial time series features various forms ofnon lineardynamics,the crucialone being the strongdependenceofthe instantaneous variabilityoftheseriesonitsownpast. Moreover,financial theoriesbasedoncon ceptslikeequilibriumorrationalbehavioroftheinvestorswouldnaturallysuggest including and testing some structural constraints on the parameters. In this con text, ARCH (Autoregressive Conditionally Heteroscedastic) models, introduced by Engle (1982), arise as an appropriate framework for studying these problems. Currently, there existmorethan onehundredpapers and some dozenPh.D. theses on this topic, which reflects the importance ofthis approach for statistical theory, finance and empirical work. 2 1. Introduction From the viewpoint ofstatistical theory, the ARCH models may be considered as some specific nonlinear time series models, which allow for aquite exhaustive studyoftheunderlyingdynamics.Itisthereforepossibletoreexamineanumberof classicalquestions like the random walkhypothesis, prediction intervals building, presenceoflatentvariables [factors] etc., and to test the validity ofthe previously established results.

Hardcover. Zustand: Like New. Like New. book.

Buch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -1.1 The DevelopmentofARCH Models Time series models have been initially introduced either for descriptive purposes like prediction and seasonal correction or for dynamic control. In the 1970s, the researchfocusedonaspecificclassoftimeseriesmodels,theso-calledautoregres sive moving average processes (ARMA), which were very easy to implement. In thesemodels,thecurrentvalueoftheseriesofinterestiswrittenasalinea rfunction ofits own laggedvalues andcurrentandpastvaluesofsomenoiseprocess, which can be interpreted as innovations to the system. However, this approach has two major drawbacks: 1) it is essentially a linear setup, which automatically restricts the type of dynamics to be approximated; 2) it is generally applied without im posing a priori constraintson the autoregressive and moving average parameters, which is inadequatefor structural interpretations. Among the field ofapplications where standard ARMA fit is poorare financial and monetary problems. The financial time series features various forms ofnon lineardynamics,the crucialone being the strongdependenceofthe instantaneous variabilityoftheseriesonitsownpast. Moreover,financial theoriesbasedoncon ceptslikeequilibriumorrationalbehavioroftheinvestorswouldnaturallysuggest including and testing some structural constraints on the parameters. In this con text, ARCH (Autoregressive Conditionally Heteroscedastic) models, introduced by Engle (1982), arise as an appropriate framework for studying these problems. Currently, there existmorethan onehundredpapers and some dozenPh.D. theses on this topic, which reflects the importance ofthis approach for statistical theory, finance and empirical work. 2 1. Introduction From the viewpoint ofstatistical theory, the ARCH models may be considered as some specific nonlinear time series models, which allow for aquite exhaustive studyoftheunderlyingdynamics.Itisthereforepossibletoreexamineanumb erof classicalquestions like the random walkhypothesis, prediction intervals building, presenceoflatentvariables [factors] etc., and to test the validity ofthe previously established results. 244 pp. Englisch.

Gebunden. Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 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.- 2.4.1 Portmanteau Statistic.- 2.4.2 Some Impl.

Buch. Zustand: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 244 pp. Englisch.