The Econometric Modelling of Financial Time Series

Contents......Page 5
Preface to the second edition......Page 7
1 Introduction......Page 9
2.1 Stochastic processes, ergodicity and stationarity......Page 16
2.2 Stochastic difference equations......Page 19
2.3 ARMA processes......Page 21
2.5 ARMA model building......Page 36
2.6 Non-stationary processes and ARIMA models......Page 45
2.7 ARIMA modelling......Page 56
2.8 Forecasting using ARIMA models......Page 61
3 Univariate linear stochastic models: further topics......Page 69
3.1 Determining the order of integration of a time series......Page 70
3.2 Decomposing time series: unobserved component models and signal extraction......Page 107
3.3 Measures of persistence and trend reversion......Page 115
3.4 Fractional integration and long memory processes......Page 122
4.1 Martingales, random walks and non-linearity......Page 130
4.2 Testing the random walk hypothesis......Page 132
4.3 Stochastic volatility......Page 134
4.4 ARCH processes......Page 139
4.5 Other non-linear univariate models......Page 161
4.6 Testing for non-linearity......Page 179
5.1 Descriptive analysis of three returns series......Page 185
5.2 Two models for returns distributions......Page 186
5.3 Determining the tail shape of a returns distribution......Page 192
5.4 Empirical evidence on tail indices......Page 196
5.5 Testing for covariance stationarity......Page 201
5.6 Modelling the central part of returns distributions......Page 204
5.7 Data analytic modelling of skewness and kurtosis......Page 206
5.8 Distributional properties of absolute returns......Page 208
5.9 Summary and further extensions......Page 211
6.1 Regression models......Page 213
6.2 ARCH-in-mean regression models......Page 226
6.3 Misspecification testing......Page 229
6.4 Robust estimation......Page 241
6.5 The multivariate linear regression model......Page 243
6.6 Vector autoregressions......Page 246
6.7 Variance decompositions, innovation accounting and structural VARs......Page 253
6.8 Vector ARMA models......Page 256
7.1 Spurious regression......Page 261
7.2 Cointegrated processes......Page 268
7.3 Testing for cointegration in regression......Page 276
7.4 Estimating cointegrating regressions......Page 281
7.5 VARs with integrated variables......Page 287
7.6 Causality testing in VECMs......Page 305
7.7 Fully modified VAR estimation......Page 307
7.8 Impulse response asymptotics in non-stationary VARs......Page 310
8.1 Testing for a single long-run relationship......Page 314
8.2 Common trends and cycles......Page 318
8.3 Estimating permanent and transitory components of a VECM......Page 323
8.4 Present value models, excess volatility and cointegration......Page 326
8.5 Generalisations and extensions of cointegration and error correction models......Page 342
Data appendix......Page 348
References......Page 350
Index......Page 374