金融时序分析中动态波动模型的检验

1 (p1): 1 Financial Volatility Models
1 (p2): 1.1 Stylized Facts
2 (p3): 1.1.1 ARCH-type Model
5 (p4): 1.1.2 Stochastic Volatility(SV)Model
7 (p5): 1.1.3 Jump Process
9 (p6): 1.2 The Relationships of the Three Models
10 (p7): 1.2.1 ARCH-type and SV Models
11 (p8): 1.2.2 ARCH-type and SV Models with Jump Components
11 (p9): 1.2.3 Purpose for Testing
12 (p10): 1.2.4 Purpose of This Book
14 (p11): 1.3 Methodology
14 (p12): 1.3.1 Lagrange Multiplier Test
15 (p13): 1.3.2 Dirac's Delta Function
15 (p14): 1.4 Structure of This Book
16 (p15): References
25 (p16): 2 Testing for EGARCH against Stochastic Volatility Models
25 (p17): 2.1 Introduction
26 (p18): 2.2 Model and Test Statistic
40 (p19): 2 3 Conclusions
40 (p20): Appendix
44 (p21): References
46 (p22): 3 Testing for GARCH against Jump-GARCH Models
46 (p23): 3.1 Introduction
48 (p24): 3.2 Model and the Lagrange Multiplier Test Statistic
56 (p25): 3.3 Simulation
59 (p26): 3.4 Conclusions
60 (p27): Appendix A
65 (p28): Appendix B
68 (p29): Appendix C
73 (p30): References
75 (p31): 4 Testing for Jumps in the GARCH(t)Jump Processes
75 (p32): 4.1 Introduction
77 (p33): 4.2 Model and Lagrange Multiplier Test Statistic
85 (p34): 4.3 A Monte Carlo Experiment and an Empirical Example
87 (p35): 4.4 Algebraic Details
90 (p36): References
93 (p37): 5 Testing for Jumps in the EGARCH Process
93 (p38): 5.1 Introduction
95 (p39): 5.2 Lagrange Multiplier Test for Jump-EGARCH with Gaussian Innovations
101 (p40): 5.3 Jump-EGARCH with Student-t Innovations
104 (p41): 5.4 One-sided Test
105 (p42): 5.5 A Monte Carlo Experiment and an Empirical Example
111 (p43): References
114 (p44): 6 Tests for Jumps in Stochastic Volatility Processes
114 (p45): 6.1 Introduction
116 (p46): 6.2 Testing for Simple SV against SV with Jumps in Returns
116 (p47): 6.2.1 SV Molde with Jumps in Returns
117 (p48): 6.2.2 Test Statistic
120 (p49): 6.3 Testing for Jumps in the Volatility Correlated with Jumps in Returns
121 (p50): 6.3.1 Model
122 (p51): 6.3.2 Test…