Econometric analysis of financial and economic time series.
| Other Authors: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Amsterdam ; Oxford :
Elsevier JAI,
2006.
|
| Series: | Advances in econometrics,
v. 20 |
| Subjects: | |
| Online Access: | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=166938 |
Table of Contents:
- Cover
- Contents
- Dedication
- List of Contributors
- Introduction
- Good Ideas
- The Creativity Process
- Reference
- Part I: Multivariate Volatility Models
- A Flexible Dynamic Correlation Model
- Introduction
- Existing Multivariate GARCH Models
- Simulations
- Empirical Results
- Conclusions
- Notes
- Acknowledgments
- References
- A Multivariate Skew-Garch Model
- Introduction
- The Skew-Normal Distribution
- The SGARCH Model
- Conditional Distributions and Related Moments
- Unconditional Distributions
- Analysis of Some Financial Markets
- Conclusions
- References
- Appendix
- Semi-Parametric Modelling of Correlation Dynamics
- Introduction
- Dynamic Conditional Correlation Models
- A Semi-Parametric Conditional Correlation Model
- Empirical Application
- Concluding Remarks
- Notes
- Acknowledgments
- References
- Appendix: Assumptions and Proof of Theorem 1
- A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals
- Introduction
- The Implicit Arch Model in the Univariate Case: A Brief Review
- A Multivariate Heavy-Tailed Distribution for ARCH/GARCH
- Numerical Maximum Likelihood
- The Bivariate Paradigm
- A Real Data Example
- Notes
- References
- A Portmanteau Test for Multivariate GARCH when the Conditional Mean is an ECM: Theory and Empirical Applications
- Introduction
- Basic Properties of the Models and the Test Statistic
- Distribution of the Sum of Squared Residual Autocorrelations
- Monte Carlo Experiments
- Empirical Examples
- Conclusions
- Acknowledgements
- References
- Appendix: Lemmas
- Part II: High Frequency Volatility Models
- Sampling Frequency and Window Length Trade-Offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations
- Introduction
- Theoretical Comparison of Estimators with different Sampling Frequencies
- Some Examples of Asymptotically Equivalent Filters
- Monte CARLO Study
- Conclusions
- Notes
- Acknowledgments
- References
- Model-Based Measurement of Actual Volatility in High-Frequency Data
- Introduction
- Models for High-Frequency Prices
- Estimation Methods
- Empirical Results for Three Months of IBM Prices
- Discussion and Conclusion
- References
- Cubic Spline for Intra-Daily Volatility Pattern
- Approximating Model for SV with Noise
- Noise Reduced Realized Volatility: A Kalman Filter Approach
- Introduction
- Model
- Multivariate Normal Approach
- Implementation
- Performance
- Conclusions
- Notes
- References
- Part III: Univariate Volatility Models
- Modeling the Asymmetry of Stock Movements Using Price Ranges
- Introduction
- Model Specification, Estimation, and Properties
- An Empirical Example Using the S & P 500 Daily Index, 1962/01/03-2000/08/25
- Conclusion
- Notes
- Acknowledgments
- Ref.