內容簡介
《金融時序分析中動態波動模型的檢驗》各章的主要內容分別如下：
第一章，介紹金融波動模型及其相互關係；
第二章，在隨機波動模型的基礎上，提議檢驗EGARCH模型的拉格朗日乘數檢驗統計量，並通過計算機仿真和實證分析，驗證該檢驗統計量的檢驗能力；
第三章，在Jump—GARCH模型的基礎上，提議檢驗跳躍現象存在與否的拉格朗日乘數檢驗統計量，並套用計算機仿真，驗證該檢驗統計量的正確性；
第四章，在Jump—GARCH（t）模型的基礎上，提議檢驗跳躍現象的拉格朗日檢驗統計量，並用計算機仿真和實證分析加以驗證；
第五章，分別在Jump—EGARCH模型和Jump—EGARCH（t）模型的基礎上，提議檢驗跳躍現象的拉格朗日乘數檢驗統計量，並通過計算機仿真和實證分析加以驗證；
第六章，在Jump-SV模型的基礎上，提議檢驗跳躍現象的拉格朗日乘數檢驗統計量，並通過計算機仿真和實證分析驗證該檢驗統計量的檢驗效率。
圖書目錄
1 Financial Volatility Models
1.1stylizedFacts
1.1.1 ARCH-type Mode]
1.1.2 Stochastic Volatility (SV) Model
1.1.3 Jump Process
1.2 The Relationships of the Three Models
1.2.1 ARCH-type and SV Models
1.2.2 ARCH-type and SV Models with Jump Components
1.2.3 Purpose for Testing
1.2.4 Purpose of This Book
1.3methodology
1.3.1 Lagrange Multiplier Test
1.3.2 Dirac's Delta Function
1.4 Structure of This Book
References
2 Testing for EGARCH against Stochastic
Volatility Models
2.1 Introduction
2.2 Model and Test Statistic
2.3 Conclusions
Appendix
References
3 Testing for GARCH against Jump-GARCH Models
3.1 Introduction
3.2 Model and the Lagrange Multiplier Test Statistic
3.3 Simulation
3.4 Conclusions
Appendix A
Appendix B
Appendix C
References
4 Testing for Jumps in the GARCH(t) Jump Processes
4.1 Introduction
4.2 Model and Lagrange Multiplier Test Statistic
4.3 A Monte Carlo Experiment and an Empirical Example
4.4 Algebraic Details
References
5 Testing for Jumps in the EGARCH Process
5.1 Introduction
5.2 Lagrange Multiplier Test for Jump-EGARCH with Gaussian Innovations
5.3 Jump-EGARCH with Student-t Innovations
5.4 One-sidedTest
5.5 AMonteCarloExperimentandanEmpiricalExample
References
6 TestsforJumpsinStochasticVolatilityProcesses
6.1 Introduction
6.2 TestingforSimpleSVagainstSVwithJumpsinReturns
6.2.1 SVMoldewithJumpsinReturns
6.2.2 TestStatistic
6.3 TestingforJumpsintheVolatilityCorrelatedwithJumpsinReturns
6.3.1 Model
6.3.2 TestStatistic
6.4 TestingforJumpsinVolatilityIndependentofJumpsinReturns
6.4.1 TheModel
6.4.2 TestStatistic
6.5 EmpiricalExamplesandMonteCarloExperiment
Appendix
References
後記
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