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10. ARCH Models: Selection and Likelihood Methods

© 2014 Princeton University Press, Princeton

© 2014 Princeton University Press, Princeton

Chapters in this book

  1. Frontmatter i
  2. Contents vii
  3. Preface xiii
  4. 1. Introduction 1
  5. Part I. Foundations
  6. 2. Prices and Returns 9
  7. 3. Stochastic Processes: Definitions and Examples 23
  8. 4. Stylized Facts for Financial Returns 51
  9. Part II. Conditional Expected Returns
  10. 5. The Variance-Ratio Test of the RandomWalk Hypothesis 99
  11. 6. Further Tests of the RandomWalk Hypothesis 121
  12. 7. Trading Rules and Market Efficiency 157
  13. Part III. Volatility Processes
  14. 8. An Introduction to Volatility 189
  15. 9. ARCH Models: Definitions and Examples 197
  16. 10. ARCH Models: Selection and Likelihood Methods 235
  17. 11. Stochastic Volatility Models 267
  18. Part IV. High-Frequency Methods
  19. 12. High-Frequency Data and Models 305
  20. Part V. Inferences from Option Prices
  21. 13. Continuous-Time Stochastic Processes 353
  22. 14. Option Pricing Formulae 369
  23. 15. Forecasting Volatility 397
  24. 16. Density Prediction for Asset Prices 423
  25. Symbols 467
  26. References 473
  27. Author Index 503
  28. Subject Index 513
Asset Price Dynamics, Volatility, and Prediction
This chapter is in the book Asset Price Dynamics, Volatility, and Prediction
https://doi.org/10.1515/9781400839254.235

Chapters in this book

  1. Frontmatter i
  2. Contents vii
  3. Preface xiii
  4. 1. Introduction 1
  5. Part I. Foundations
  6. 2. Prices and Returns 9
  7. 3. Stochastic Processes: Definitions and Examples 23
  8. 4. Stylized Facts for Financial Returns 51
  9. Part II. Conditional Expected Returns
  10. 5. The Variance-Ratio Test of the RandomWalk Hypothesis 99
  11. 6. Further Tests of the RandomWalk Hypothesis 121
  12. 7. Trading Rules and Market Efficiency 157
  13. Part III. Volatility Processes
  14. 8. An Introduction to Volatility 189
  15. 9. ARCH Models: Definitions and Examples 197
  16. 10. ARCH Models: Selection and Likelihood Methods 235
  17. 11. Stochastic Volatility Models 267
  18. Part IV. High-Frequency Methods
  19. 12. High-Frequency Data and Models 305
  20. Part V. Inferences from Option Prices
  21. 13. Continuous-Time Stochastic Processes 353
  22. 14. Option Pricing Formulae 369
  23. 15. Forecasting Volatility 397
  24. 16. Density Prediction for Asset Prices 423
  25. Symbols 467
  26. References 473
  27. Author Index 503
  28. Subject Index 513
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