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ARCH models for financial applications / Evdokia Xekalaki, Stavros Degiannakis
| ARCH models for financial applications / Evdokia Xekalaki, Stavros Degiannakis |
| Autore | XEKALAKI, Evdokia |
| Pubbl/distr/stampa | Chichester : Wiley, 2010 |
| Descrizione fisica | XX, 538 p. ; 24 cm + 1 cd-rom |
| Disciplina | 332.01519536 |
| Altri autori (Persone) | DEGIANNAKIS, Stavros |
| Soggetto topico | Finanza - modelli econometrici |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005556040203316 |
XEKALAKI, Evdokia
|
||
| Chichester : Wiley, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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ARCH models for financial applications [[electronic resource] /] / Evdokia Xekalaki, Stavros Degiannakis
| ARCH models for financial applications [[electronic resource] /] / Evdokia Xekalaki, Stavros Degiannakis |
| Autore | Xekalaki Evdokia |
| Pubbl/distr/stampa | Chichester ; ; Hoboken, : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (560 p.) |
| Disciplina |
332.015195
332.01519536 |
| Altri autori (Persone) | DegiannakisStavros |
| Soggetto topico |
Finance - Mathematical models
Autoregression (Statistics) |
| ISBN |
1-282-54774-7
9786612547744 0-470-68801-7 0-470-68802-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
ARCH Models for Financial Applications; Contents; Preface; Notation; 1 What is an ARCH process?; 1.1 Introduction; 1.2 The autoregressive conditionally heteroscedastic process; 1.3 The leverage effect; 1.4 The non-trading period effect; 1.5 The non-synchronous trading effect; 1.6 The relationship between conditional variance and conditional mean; 1.6.1 The ARCH in mean model; 1.6.2 Volatility and serial correlation; 2 ARCH volatility specifications; 2.1 Model specifications; 2.2 Methods of estimation; 2.2.1 Maximum likelihood estimation; 2.2.2 Numerical estimation algorithms
2.2.3 Quasi-maximum likelihood estimation2.2.4 Other estimation methods; 2.3 Estimating the GARCH model with EViews 6: an empirical example; 2.4 Asymmetric conditional volatility specifications; 2.5 Simulating ARCH models using EViews; 2.6 Estimating asymmetric ARCH models with G@RCH 4.2 OxMetrics: an empirical example; 2.7 Misspecification tests; 2.7.1 The Box-Pierce and Ljung-Box Q statistics; 2.7.2 Tse's residual based diagnostic test for conditional heteroscedasticity; 2.7.3 Engle's Lagrange multiplier test; 2.7.4 Engle and Ng's sign bias tests 2.7.5 The Breusch-Pagan, Godfrey, Glejser, Harvey and White tests2.7.6 The Wald, likelihood ratio and Lagrange multiplier tests; 2.8 Other ARCH volatility specifications; 2.8.1 Regime-switching ARCH models; 2.8.2 Extended ARCH models; 2.9 Other methods of volatility modelling; 2.10 Interpretation of the ARCH process; Appendix; 3 Fractionally integrated ARCH models; 3.1 Fractionally integrated ARCH model specifications; 3.2 Estimating fractionally integrated ARCH models using G@RCH 4.2 OxMetrics: an empirical example 3.3 A more detailed investigation of the normality of the standardized residuals: goodness-of-fit tests3.3.1 EDF tests; 3.3.2 Chi-square tests; 3.3.3 QQ plots; 3.3.4 Goodness-of-fit tests using EViews and G@RCH; Appendix; 4 Volatility forecasting: an empirical example using EViews 6; 4.1 One-step-ahead volatility forecasting; 4.2 Ten-step-ahead volatility forecasting; Appendix; 5 Other distributional assumptions; 5.1 Non-normally distributed standardized innovations 5.2 Estimating ARCH models with non-normally distributed standardized innovations using G@RCH 4.2 OxMetrics: an empirical example5.3 Estimating ARCH models with non-normally distributed standardized innovations using EViews 6: an empirical example; 5.4 Estimating ARCH models with non-normally distributed standardized innovations using EViews 6: the logl object; Appendix; 6 Volatility forecasting: an empirical example using G@RCH Ox; Appendix; 7 Intraday realized volatility models; 7.1 Realized volatility; 7.2 Intraday volatility models 7.3 Intraday realized volatility andARFIMAXmodels in G@RCH 4.2 OxMetrics: an empirical example |
| Record Nr. | UNINA-9910140611403321 |
|
Xekalaki Evdokia
|
||
| Chichester ; ; Hoboken, : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
ARCH models for financial applications / / Evdokia Xekalaki, Stavros Degiannakis
| ARCH models for financial applications / / Evdokia Xekalaki, Stavros Degiannakis |
| Autore | Xekalaki Evdokia |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester ; ; Hoboken, : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (560 p.) |
| Disciplina |
332.015195
332.01519536 |
| Altri autori (Persone) | DegiannakisStavros |
| Soggetto topico |
Finance - Mathematical models
Autoregression (Statistics) |
| ISBN |
1-282-54774-7
9786612547744 0-470-68801-7 0-470-68802-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
ARCH Models for Financial Applications; Contents; Preface; Notation; 1 What is an ARCH process?; 1.1 Introduction; 1.2 The autoregressive conditionally heteroscedastic process; 1.3 The leverage effect; 1.4 The non-trading period effect; 1.5 The non-synchronous trading effect; 1.6 The relationship between conditional variance and conditional mean; 1.6.1 The ARCH in mean model; 1.6.2 Volatility and serial correlation; 2 ARCH volatility specifications; 2.1 Model specifications; 2.2 Methods of estimation; 2.2.1 Maximum likelihood estimation; 2.2.2 Numerical estimation algorithms
2.2.3 Quasi-maximum likelihood estimation2.2.4 Other estimation methods; 2.3 Estimating the GARCH model with EViews 6: an empirical example; 2.4 Asymmetric conditional volatility specifications; 2.5 Simulating ARCH models using EViews; 2.6 Estimating asymmetric ARCH models with G@RCH 4.2 OxMetrics: an empirical example; 2.7 Misspecification tests; 2.7.1 The Box-Pierce and Ljung-Box Q statistics; 2.7.2 Tse's residual based diagnostic test for conditional heteroscedasticity; 2.7.3 Engle's Lagrange multiplier test; 2.7.4 Engle and Ng's sign bias tests 2.7.5 The Breusch-Pagan, Godfrey, Glejser, Harvey and White tests2.7.6 The Wald, likelihood ratio and Lagrange multiplier tests; 2.8 Other ARCH volatility specifications; 2.8.1 Regime-switching ARCH models; 2.8.2 Extended ARCH models; 2.9 Other methods of volatility modelling; 2.10 Interpretation of the ARCH process; Appendix; 3 Fractionally integrated ARCH models; 3.1 Fractionally integrated ARCH model specifications; 3.2 Estimating fractionally integrated ARCH models using G@RCH 4.2 OxMetrics: an empirical example 3.3 A more detailed investigation of the normality of the standardized residuals: goodness-of-fit tests3.3.1 EDF tests; 3.3.2 Chi-square tests; 3.3.3 QQ plots; 3.3.4 Goodness-of-fit tests using EViews and G@RCH; Appendix; 4 Volatility forecasting: an empirical example using EViews 6; 4.1 One-step-ahead volatility forecasting; 4.2 Ten-step-ahead volatility forecasting; Appendix; 5 Other distributional assumptions; 5.1 Non-normally distributed standardized innovations 5.2 Estimating ARCH models with non-normally distributed standardized innovations using G@RCH 4.2 OxMetrics: an empirical example5.3 Estimating ARCH models with non-normally distributed standardized innovations using EViews 6: an empirical example; 5.4 Estimating ARCH models with non-normally distributed standardized innovations using EViews 6: the logl object; Appendix; 6 Volatility forecasting: an empirical example using G@RCH Ox; Appendix; 7 Intraday realized volatility models; 7.1 Realized volatility; 7.2 Intraday volatility models 7.3 Intraday realized volatility andARFIMAXmodels in G@RCH 4.2 OxMetrics: an empirical example |
| Record Nr. | UNINA-9910814422003321 |
|
Xekalaki Evdokia
|
||
| Chichester ; ; Hoboken, : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||