AFTS

This is an individual repository prepped for the book Analysis of Financial Time Series, 3e., written by Ruey S. Tsay. The source code and sample data are originally from the author's page. You may have to follow the instruction to see the page properly.

시카고 대학의 Tsay 교수가 쓴 Analysis of Financial Time Series 3판의 샘플 데이터와 코드입니다. 원 출처는 여기 입니다.

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1 Financial Time Series and Their Characteristics

• 1.1 Asset Returns, 2
• 1.2 Distributional Properties of Returns, 7
• 1.3 Processes Considered, 22

2 Linear Time Series Analysis and Its Applications

• 2.1 Stationarity, 30
• 2.2 Correlation and Autocorrelation Function, 30
• 2.3 White Noise and Linear Time Series, 36
• 2.4 Simple AR Models, 37
• 2.5 Simple MA Models, 57
• 2.6 Simple ARMA Models, 64
• 2.7 Unit-Root Nonstationarity, 71
• 2.8 Seasonal Models, 81
• 2.9 Regression Models with Time Series Errors, 90
• 2.10 Consistent Covariance Matrix Estimation, 97
• 2.11 Long-Memory Models, 101

3 Conditional Heteroscedastic Models

• 3.1 Characteristics of Volatility, 110
• 3.2 Structure of a Model, 111
• 3.3 Model Building, 113
• 3.4 The ARCH Model, 115
• 3.5 The GARCH Model, 131
• 3.6 The Integrated GARCH Model, 140
• 3.7 The GARCH-M Model, 142
• 3.8 The Exponential GARCH Model, 143
• 3.9 The Threshold GARCH Model, 149
• 3.10 The CHARMA Model, 150
• 3.11 Random Coefficient Autoregressive Models, 152
• 3.12 Stochastic Volatility Model, 153
• 3.13 Long-Memory Stochastic Volatility Model, 154
• 3.14 Application, 155
• 3.15 Alternative Approaches, 159
• 3.16 Kurtosis of GARCH Models, 165

4 Nonlinear Models and Their Applications

• 4.1 Nonlinear Models, 177
• 4.2 Nonlinearity Tests, 205
• 4.3 Modeling, 214
• 4.4 Forecasting, 215
• 4.5 Application, 218

5 High-Frequency Data Analysis and Market Microstructure

• 5.1 Nonsynchronous Trading, 232
• 5.2 Bid–Ask Spread, 235
• 5.3 Empirical Characteristics of Transactions Data, 237
• 5.4 Models for Price Changes, 244
• 5.5 Duration Models, 253
• 5.6 Nonlinear Duration Models, 264
• 5.7 Bivariate Models for Price Change and Duration, 265
• 5.8 Application, 270

6 Continuous-Time Models and Their Applications

• 6.1 Options, 288
• 6.2 Some Continuous-Time Stochastic Processes, 288
• 6.3 Ito's Lemma, 292
• 6.4 Distributions of Stock Prices and Log Returns, 297
• 6.5 Derivation of Black–Scholes Differential Equation, 298
• 6.6 Black–Scholes Pricing Formulas, 300
• 6.7 Extension of Ito's Lemma, 309
• 6.8 Stochastic Integral, 310
• 6.9 Jump Diffusion Models, 311
• 6.10 Estimation of Continuous-Time Models, 318

7 Extreme Values, Quantiles, and Value at Risk

• 7.1 Value at Risk, 326
• 7.2 RiskMetrics, 328
• 7.3 Econometric Approach to VaR Calculation, 333
• 7.4 Quantile Estimation, 338
• 7.5 Extreme Value Theory, 342
• 7.6 Extreme Value Approach to VaR, 353
• 7.7 New Approach Based on the Extreme Value Theory, 359
• 7.8 The Extremal Index, 377

8 Multivariate Time Series Analysis and Its Applications

• 8.1 Weak Stationarity and Cross-Correlation Matrices, 390
• 8.2 Vector Autoregressive Models, 399
• 8.3 Vector Moving-Average Models, 417
• 8.4 Vector ARMA Models, 422
• 8.5 Unit-Root Nonstationarity and Cointegration, 428
• 8.6 Cointegrated VAR Models, 432
• 8.7 Threshold Cointegration and Arbitrage, 442
• 8.8 Pairs Trading, 446

9 Principal Component Analysis and Factor Models

• 9.1 A Factor Model, 468
• 9.2 Macroeconometric Factor Models, 470
• 9.3 Fundamental Factor Models, 476
• 9.4 Principal Component Analysis, 483
• 9.5 Statistical Factor Analysis, 489
• 9.6 Asymptotic Principal Component Analysis, 498

10 Multivariate Volatility Models and Their Applications

• 10.1 Exponentially Weighted Estimate, 506
• 10.2 Some Multivariate GARCH Models, 510
• 10.3 Reparameterization, 516
• 10.4 GARCH Models for Bivariate Returns, 521
• 10.5 Higher Dimensional Volatility Models, 537
• 10.6 Factor–Volatility Models, 543
• 10.7 Application, 546
• 10.8 Multivariate t Distribution, 548

11 State-Space Models and Kalman Filter

• 11.1 Local Trend Model, 558
• 11.2 Linear State-Space Models, 576
• 11.3 Model Transformation, 577
• 11.4 Kalman Filter and Smoothing, 591
• 11.5 Missing Values, 600
• 11.6 Forecasting, 601
• 11.7 Application, 602

12 Markov Chain Monte Carlo Methods with Applications

• 12.1 Markov Chain Simulation, 614
• 12.2 Gibbs Sampling, 615
• 12.3 Bayesian Inference, 617
• 12.4 Alternative Algorithms, 622
• 12.5 Linear Regression with Time Series Errors, 624
• 12.6 Missing Values and Outliers, 628
• 12.7 Stochastic Volatility Models, 636
• 12.8 New Approach to SV Estimation, 649
• 12.9 Markov Switching Models, 660
• 12.10 Forecasting, 666
• 12.11 Other Applications, 669