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1、AnalysisofFinancialTimeSeriesAnalysisofFinancialTimeSeriesFinancialEconometricsRUEYS.TSAYUniversityofChicagoAWiley-IntersciencePublicationJOHNWILEY&SONS,INC.Thisbookisprintedonacid-freepaper.∞Copyrightc2002byJohnWiley&Sons,Inc.Allrightsreserved.Publishedsimul
2、taneouslyinCanada.Nopartofthispublicationmaybereproduced,storedinaretrievalsystemortransmittedinanyformorbyanymeans,electronic,mechanical,photocopying,recording,scanningorotherwise,exceptaspermittedunderSections107or108ofthe1976UnitedStatesCopyrightAct,without
3、eitherthepriorwrittenpermissionofthePublisher,orauthorizationthroughpaymentoftheappropriateper-copyfeetotheCopyrightClearanceCenter,222RosewoodDrive,Danvers,MA01923,(978)750-8400,fax(978)750-4744.RequeststothePublisherforpermissionshouldbeaddressedtothePermiss
4、ionsDepartment,JohnWiley&Sons,Inc.,605ThirdAvenue,NewYork,NY10158-0012,(212)850-6011,fax(212)850-6008.E-Mail:PERMREQ@WILEY.COM.Fororderingandcustomerservice,call1-800-CALL-WILEY.LibraryofCongressCataloging-in-PublicationDataTsay,RueyS.,1951Analysisoffinancialti
5、meseries/RueyS.Tsay.p.cm.(Wileyseriesinprobabilityandstatistics.Financialengineeringsection)AWiley-Intersciencepublication.Includesbibliographicalreferencesandindex.ISBN0-471-41544-8(cloth:alk.paper)1.Time-seriesanalysis.2.Econometrics.3.Riskmanagement.I.Title
6、.II.Series.HA30.3T762001332.015195dc212001026944PrintedintheUnitedStatesofAmerica10987654321TomyparentsandTeresaContentsPrefacexi1.FinancialTimeSeriesandTheirCharacteristics11.1AssetReturns,21.2DistributionalPropertiesofReturns,61.3ProcessesConsidered,172.Li
7、nearTimeSeriesAnalysisandItsApplications222.1Stationarity,232.2CorrelationandAutocorrelationFunction,232.3WhiteNoiseandLinearTimeSeries,262.4SimpleAutoregressiveModels,282.5SimpleMoving-AverageModels,422.6SimpleARMAModels,482.7Unit-RootNonstationarity,562.8Sea
8、sonalModels,612.9RegressionModelswithTimeSeriesErrors,662.10Long-MemoryModels,72AppendixA.SomeSCACommands,743.ConditionalHeteroscedasticModels793.1CharacteristicsofVolatility,803.2
