《金融时序分析中动态波动模型的检验 英文》PDF下载

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  • 作  者:史秀红著
  • 出 版 社:北京:首都经济贸易大学出版社
  • 出版年份:2009
  • ISBN:9787563816774
  • 页数:132 页
图书介绍:本书是作者用英文写作的有关时间序列分析中的波动模型的学术著作。虽然金融波动模型的参数估计和实证方法备受重视,但对模型的检验方法的研究却被人们严重地忽视了。本书借鉴量子力学中的德鲁塔函数的思想,率先建立起拉格朗日乘数检验统计量,以规避不可定义参数的检验问题。

1 Financial Volatility Models 1

1.1 Stylized Facts 1

1.1.1 ARCH-type Model 2

1.1.2 Stochastic Volatility(SV)Model 5

1.1.3 Jump Process 7

1.2 The Relationships of the Three Models 9

1.2.1 ARCH-type and SV Models 10

1.2.2 ARCH-type and SV Models with Jump Components 11

1.2.3 Purpose for Testing 11

1.2.4 Purpose of This Book 12

1.3 Methodology 14

1.3.1 Lagrange Multiplier Test 14

1.3.2 Dirac's Delta Function 15

1.4 Structure of This Book 15

References 16

2 Testing for EGARCH against Stochastic Volatility Models 25

2.1 Introduction 25

2.2 Model and Test Statistic 26

2 3 Conclusions 40

Appendix 40

References 44

3 Testing for GARCH against Jump-GARCH Models 46

3.1 Introduction 46

3.2 Model and the Lagrange Multiplier Test Statistic 48

3.3 Simulation 56

3.4 Conclusions 59

Appendix A 60

Appendix B 65

Appendix C 68

References 73

4 Testing for Jumps in the GARCH(t)Jump Processes 75

4.1 Introduction 75

4.2 Model and Lagrange Multiplier Test Statistic 77

4.3 A Monte Carlo Experiment and an Empirical Example 85

4.4 Algebraic Details 87

References 90

5 Testing for Jumps in the EGARCH Process 93

5.1 Introduction 93

5.2 Lagrange Multiplier Test for Jump-EGARCH with Gaussian Innovations 95

5.3 Jump-EGARCH with Student-t Innovations 101

5.4 One-sided Test 104

5.5 A Monte Carlo Experiment and an Empirical Example 105

References 111

6 Tests for Jumps in Stochastic Volatility Processes 114

6.1 Introduction 114

6.2 Testing for Simple SV against SV with Jumps in Returns 116

6.2.1 SV Molde with Jumps in Returns 116

6.2.2 Test Statistic 117

6.3 Testing for Jumps in the Volatility Correlated with Jumps in Returns 120

6.3.1 Model 121

6.3.2 Test Statistic 122

6.4 Testing for Jumps in Volatility Independent of Jumps in Returns 125

6.4.1 The Model 126

6.4.2 Test Statistic 127

6.5 Empirical Examples and Monte Carlo Experiment 128

Appendix 128

References 130

后记 132