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List of figures
Preface Notation and typography 1 Introduction to financial time series 1.1 The object of interest 1.2 Approaching the dataset 1.3 Normality 1.4 Stationarity 1.4.1 Stationarity tests 1.5 Autocorrelation 1.5.1 ACF 1.5.2 PACF 1.6 Heteroskedasticity 1.7 Linear time series 1.8 Model selection 1.A How to import data 2 ARMA models 2.1 Autoregressive (AR) processes 2.1.1 AR(1) 2.1.2 AR(p) 2.2 Moving-average (MA) processes 2.2.1 MA(1) 2.2.2 MA(q) 2.2.3 Invertibility 2.3 Autoregressive moving-average (ARMA) processes 2.3.1 ARMA(1,1) 2.3.2 ARMA(p,q) 2.3.3 ARIMA 2.3.4 ARMAX 2.4 Application of ARMA models 2.4.1 Model estimation 2.4.2 Postestimation 2.4.3 Adding a dummy variable 2.4.4 Forecasting 3 Modeling volatilities, ARCH models, and GARCH models 3.1 Introduction 3.2 ARCH models 3.2.1 General options ARCH Distribution 3.2.2 Additional options ARIMA The het() option The maximize_options options 3.2.3 Postestimation 3.3 ARCH(p) 3.4 GARCH models 3.4.1 GARCH(p,q) 3.4.2 GARCH in mean 3.4.3 Forecasting 3.5 Asymmetric GARCH models 3.5.1 SAARCH 3.5.2 TGARCH 3.5.3 GJR–GARCH 3.5.4 APARCH 3.5.5 News impact curve 3.5.6 Forecasting comparison 3.6 Alternative GARCH models 3.6.1 PARCH 3.6.2 NGARCH 3.6.3 NGARCHK 4 Multivariate GARCH models 4.1 Introduction 4.2 Multivariate GARCH 4.3 Direct generalizations of the univariate GARCH model of Bollerslev 4.3.1 Vech model 4.3.2 Diagonal vech model 4.3.3 BEKK model 4.3.4 Empirical application Data description Dvech model 4.4 Nonlinear combination of univariate GARCH—common features 4.4.1 Constant conditional correlation (CCC) GARCH Empirical application 4.4.2 Dynamic conditional correlation (DCC) model Dynamic conditional correlation Engle (DCCE) model Empirical application Dynamic conditional correlation Tse and Tsui (DCCT) Prediction 4.5 Final remarks 5 Risk management 5.1 Introduction 5.2 Loss 5.3 Risk measures 5.4 VaR 5.4.1 VaR estimation 5.4.2 Parametric approach 5.4.3 Historical simulation 5.4.4 Monte Carlo simulation 5.4.5 Expected shortfall 5.5 Backtesting procedures 5.5.1 Unilevel VaR tests The unconditional coverage test The independence test The conditional coverage test The duration tests 6 Contagion analysis 6.1 Introduction 6.2 Contagion measurement 6.2.1 Cross-market correlation coefficients Empirical exercise 6.2.2 ARCH and GARCH models Empirical exercise Markov switching 6.2.3 Higher moments contagion Empirical exercise Glossary of acronyms References Author index Subject index 数据： 购买书的地址：http://www.stata-press.com/books/financial-econometrics-stata/ 书中的数据：http://www.stata-press.com/data/feus.html |
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