Analysis of Financial Time Series[Ruey_S._Tsay].pdf

Analysis of Financial

Time Series

Financial Econometrics

RUEY S. TSAY

University of Chicago

A Wiley-Interscience Publication

JOHN WILEY & SONS, INC.

This book is printed on acid-free paper.

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p. cm. — (Wiley series in probability and statistics. Financial engineering section)

5195—dc21 2001026944

Printed in the United States of America

10987654321

3.9 Random Coefficient Autoregressive Models, 109

3.10 The Stochastic Volatility Model, 110

3.13 Application, 114

3.14 Kurtosis of GARCH Models, 118

5.1 Nonsynchronous Trading, 176

5.2 Bid-Ask Spread, 179

5.3 Empirical Characteristics of Transactions Data, 181

5.4 Models for Price Changes, 187

5.5 Duration Models, 194

5.6 Nonlinear Duration Models, 206

5.7 Bivariate Models for Price Change and Duration, 207