1 Introduction

The Development of ARCH Models

Book Content

2 Linear and Nonlinear Processes

Stochastic Processes

Weak and Strict Stationarity

A Few Examples

Nonlinearities

3 Univariate ARCH Models

A Heteroscedastic Model of Order One

General Properties of ARCH Processes

4 Estimation and Tests

Pseudo Maximum Likelihood Estimation

Two Step Estimation Procedures

Forecast Intervals

Homoscedasticity Test

The Test Statistic Interpretation

5 Some Applications of Univariate ARCH Models

Leptokurtic Aspects of Financial Series and Aggregation

ARCH Processes as an Approximation of Continuous Time Processes

The Random Walk Hypothesis

Threshold Models

Integrated Models

6 Multivariate ARCH Models

Unconstrained Models

Constrained Models

Estimation of Heteroscedastic Dynamic Models

7 Efficient Portfolios and Hedging Portfolios

Determination of an Efficient Portfolio

Properties of the Set of Efficient Portfolios

Asymmetric Information and Aggregation

Hedging Portfolios Mimicking a Series of Interest

Empirical Study of Performance Measures

8 Factor Models, Diversification and Efficiency

Factor Models  Linear Factor Representation

Arbitrage Theory

Efficiency Tests and Diversification

Conditional and Historical Performance Measures

9 Equilibrium Models

Capital Asset Pricing Model

Test of the CAPM

Examples of Structural Models