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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 |
9786612547744
9781282547742 1282547747 9780470688014 0470688017 9780470688021 0470688025 |
| 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 | ||
| ||
The cointegrated VAR model [[electronic resource] ] : methodology and applications / / Katarina Juselius
| The cointegrated VAR model [[electronic resource] ] : methodology and applications / / Katarina Juselius |
| Autore | Juselius Katarina |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, 2006 |
| Descrizione fisica | xx, 457 p. : ill |
| Disciplina | 330.01/51563 |
| Collana | Advanced texts in econometrics |
| Soggetto topico |
Econometric models
Autoregression (Statistics) Vector analysis Cointegration |
| Soggetto genere / forma | Electronic books. |
| ISBN |
9786611154141
1-281-15414-8 0-19-153655-5 1-4294-6024-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910451804603321 |
|
Juselius Katarina
|
||
| Oxford ; ; New York, : Oxford University Press, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The cointegrated VAR model [[electronic resource] ] : methodology and applications / / Katarina Juselius
| The cointegrated VAR model [[electronic resource] ] : methodology and applications / / Katarina Juselius |
| Autore | Juselius Katarina |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, 2006 |
| Descrizione fisica | xx, 457 p. : ill |
| Disciplina | 330.01/51563 |
| Collana | Advanced texts in econometrics |
| Soggetto topico |
Econometric models
Autoregression (Statistics) Vector analysis Cointegration |
| ISBN |
1-383-04308-6
9786611154141 1-281-15414-8 0-19-153655-5 1-4294-6024-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910777784503321 |
|
Juselius Katarina
|
||
| Oxford ; ; New York, : Oxford University Press, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Inequality and Growth : : A Heterogeneous Approach / / Francesco Grigoli, Evelio Paredes, Gabriel Di Bella
| Inequality and Growth : : A Heterogeneous Approach / / Francesco Grigoli, Evelio Paredes, Gabriel Di Bella |
| Autore | Grigoli Francesco |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2016 |
| Descrizione fisica | 1 online resource (34 pages) : illustrations (some color), graphs, tables |
| Disciplina | 339.2 |
| Altri autori (Persone) |
Di BellaGabriel
ParedesEvelio |
| Collana | IMF Working Papers |
| Soggetto topico |
Income distribution
Economic development Autoregression (Statistics) Aggregate Factor Income Distribution Economic Development: Human Resources Economic Growth and Aggregate Productivity: General Education Education: General Human Development Income Distribution Income inequality Income shocks Income Macroeconomics Migration National accounts Personal income Personal Income, Wealth, and Their Distributions |
| ISBN |
9781475569049
1475569041 9781475569063 1475569068 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910162925703321 |
|
Grigoli Francesco
|
||
| Washington, D.C. : , : International Monetary Fund, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Models for dependent time series / / Granville Tunnicliffe-Wilson, Department of Mathematics and Statistics, Lancaster University, UK; Marco Reale, School of Mathematics and Statistics, University of Canterbury, New Zealand; John Haywood, School of Mathematics and Statistics, Victoria University of Wellington, New Zealand
| Models for dependent time series / / Granville Tunnicliffe-Wilson, Department of Mathematics and Statistics, Lancaster University, UK; Marco Reale, School of Mathematics and Statistics, University of Canterbury, New Zealand; John Haywood, School of Mathematics and Statistics, Victoria University of Wellington, New Zealand |
| Autore | Tunnicliffe-Wilson Granville |
| Pubbl/distr/stampa | Boca Raton : , : CRC Press, , 2015 |
| Descrizione fisica | 1 online resource (320 p.) |
| Disciplina |
519.5/5
519.55 |
| Collana | Monographs on Statistics and Applied Probability |
| Soggetto topico |
Time-series analysis
Autoregression (Statistics) Mathematical statistics |
| ISBN |
0-429-14440-7
1-4200-1150-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Cover""; ""Contents""; ""Preface""; ""Chapter 1: Introduction and overview""; ""Chapter 2: Lagged regression and autoregressive models""; ""Chapter 3: Spectral analysis of dependent series""; ""Chapter 4: Estimation of vector autoregressions""; ""Chapter 5: Graphical modeling of structural VARs""; ""Chapter 6: VZAR: An extension of the VAR model""; ""Chapter 7: Continuous time VZAR models""; ""Chapter 8: Irregularly sampled series""; ""Chapter 9: Linking graphical, spectral and VZAR methods""; ""References"" |
| Record Nr. | UNINA-9910797359503321 |
|
Tunnicliffe-Wilson Granville
|
||
| Boca Raton : , : CRC Press, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Models for dependent time series / / Granville Tunnicliffe-Wilson, Department of Mathematics and Statistics, Lancaster University, UK; Marco Reale, School of Mathematics and Statistics, University of Canterbury, New Zealand; John Haywood, School of Mathematics and Statistics, Victoria University of Wellington, New Zealand
| Models for dependent time series / / Granville Tunnicliffe-Wilson, Department of Mathematics and Statistics, Lancaster University, UK; Marco Reale, School of Mathematics and Statistics, University of Canterbury, New Zealand; John Haywood, School of Mathematics and Statistics, Victoria University of Wellington, New Zealand |
| Autore | Tunnicliffe-Wilson Granville |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Boca Raton : , : CRC Press, , 2015 |
| Descrizione fisica | 1 online resource (320 p.) |
| Disciplina |
519.5/5
519.55 |
| Collana | Monographs on Statistics and Applied Probability |
| Soggetto topico |
Time-series analysis
Autoregression (Statistics) Mathematical statistics |
| ISBN |
9781040208427
1040208428 9780429144400 0429144407 9781420011500 1420011502 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Cover""; ""Contents""; ""Preface""; ""Chapter 1: Introduction and overview""; ""Chapter 2: Lagged regression and autoregressive models""; ""Chapter 3: Spectral analysis of dependent series""; ""Chapter 4: Estimation of vector autoregressions""; ""Chapter 5: Graphical modeling of structural VARs""; ""Chapter 6: VZAR: An extension of the VAR model""; ""Chapter 7: Continuous time VZAR models""; ""Chapter 8: Irregularly sampled series""; ""Chapter 9: Linking graphical, spectral and VZAR methods""; ""References"" |
| Record Nr. | UNINA-9910973528603321 |
|
Tunnicliffe-Wilson Granville
|
||
| Boca Raton : , : CRC Press, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Weighted empiricals and linear models / / Hira L. Koul [[electronic resource]]
| Weighted empiricals and linear models / / Hira L. Koul [[electronic resource]] |
| Autore | Koul H. L (Hira L.) |
| Pubbl/distr/stampa | Hayward, Calif., : Institute of Mathematical Statistics, c1992 |
| Descrizione fisica | 1 online resource (x, 264 p. ) |
| Disciplina | 519.5 |
| Collana |
Lecture notes-monograph series Weighted empiricals and linear models
Lecture notes-monograph series |
| Soggetto topico |
Sampling (Statistics)
Linear models (Statistics) Regression analysis Autoregression (Statistics) Mathematics Physical Sciences & Mathematics Mathematical Statistics |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996210821003316 |
|
Koul H. L (Hira L.)
|
||
| Hayward, Calif., : Institute of Mathematical Statistics, c1992 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Weighted empiricals and linear models / / Hira L. Koul [[electronic resource]]
| Weighted empiricals and linear models / / Hira L. Koul [[electronic resource]] |
| Autore | Koul H. L (Hira L.) |
| Pubbl/distr/stampa | Hayward, Calif., : Institute of Mathematical Statistics, c1992 |
| Descrizione fisica | 1 online resource (x, 264 p. ) |
| Disciplina | 519.5 |
| Collana |
Lecture notes-monograph series Weighted empiricals and linear models
Lecture notes-monograph series |
| Soggetto topico |
Sampling (Statistics)
Linear models (Statistics) Regression analysis Autoregression (Statistics) Mathematics Physical Sciences & Mathematics Mathematical Statistics |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910482887103321 |
|
Koul H. L (Hira L.)
|
||
| Hayward, Calif., : Institute of Mathematical Statistics, c1992 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
