Lectures for Part II: Time Series Models in Finance

More documents

Recommendations

Info

Sample ACF <strong>for</strong> Squares of SV (1000 reps) (c) SV Model, n=10000 0.0 0.01 0.02 0.03 0.04 0.0 0.05 0.10 0.15 (d) SV Model, n=100000 MaPhySto Workshop 9/04 102
Example: Amazon returns May 16, 1997 to June 16, 2004. .40 <strong>Series</strong> .20 .00 -.20 -.40 -.60 -.80 -1.00 1.00 0 400 800 1200 1600 Residual ACF: Abs values Residual ACF: Squares 1.00 .80 .80 .60 .60 .40 .40 .20 .20 .00 .00 -.20 -.20 -.40 -.40 -.60 -.60 -.80 -.80 -1.00 MaPhySto Workshop 9/04 0 5 10 15 20 25 30 35 40 -1.00 0 5 10 15 20 25 30 35 40 103
Page 1 and 2:
Nonlinear Time Series Modeling Part
Page 3 and 4:
1. Classification of White Noise As
Page 5 and 6:
2. Examples (1) All-pass processs.
Page 7 and 8:
2. Examples (cont) MaPhySto Worksho
Page 9 and 10:
Page 11 and 12:
Page 13 and 14:
2. Examples (cont) Likelihood funct
Page 15 and 16:
2. Examples (cont) The sample ACF.
Page 17 and 18:
MaPhySto Workshop 9/04 17
Page 19 and 20:
Log returns for IBM 1/3/62-11/3/00
Page 21 and 22:
ACF of squares for IBM (a) 1961-198
Page 23 and 24:
Hill’s estimator of tail index Th
Page 25 and 26:
Hill’s plot of tail index for IBM
Page 27 and 28:
4. ARCH and GARCH Models (cont) MaP
Page 29 and 30:
Page 31 and 32:
Page 33 and 34:
Page 35 and 36:
Page 37 and 38:
4. ARCH and GARCH Models (cont) i M
Page 39 and 40:
Page 41 and 42:
4. ARCH and GARCH Models (cont) SS
Page 43 and 44:
Page 45 and 46:
Page 47 and 48:
Page 49 and 50:
Parameter Estimation for Finite-Var
Page 51 and 52: MaPhySto Workshop 9/04 51
Page 53 and 54: 4. ARCH and GARCH Models (cont) MaP
Page 67 and 68: 5. Forecasting with GARCH (cont) Ma
Page 69 and 70: 7. Stochastic Volatility Models MaP
Page 71 and 72: 7. Stochastic Volatility Models (co
Page 83 and 84: 8. Regular variation and applicatio
Page 85 and 86: 8.2 Regular variation — multivari
Page 87 and 88: 2. If X 1 = X 2 > 0, then X= (X 1 ,
Page 89 and 90: 8.3 Applications of multivariate re
Page 91 and 92: 8.4 Applications of theorem 1. Kest
Page 93 and 94: 8.4 Examples (cont) Example of ARCH
Page 95 and 96: 8.6 Extremes for GARCH and SV proce
Page 97 and 98: 8.6 Extremes for GARCH and SV proce
Page 99 and 100: 8.7 Summary of results for ACF of G
Page 101: Sample ACF for Squares of GARCH (10
show all

Lectures for Part II: Time Series Models in Finance

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?