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1、TimeSeriesWILEYSERIESINPROBABILITYANDSTATISTICSEstablishedbyWALTERA.SHEWHARTandSAMUELS.WILKSEditors:DavidJ.Balding,PeterBloomfield,NoelA.C.Cressie,NicholasI.Fisher,IainM.Johnstone,J.B.Kadane,LouiseM.Ryan,DavidW.Scott,AdrianF.M.Smith,JozefL.Teugels;Ed
2、itorsEmeriti:VicBarnett,J.StuartHunter,DavidG.KendallAcompletelistofthetitlesinthisseriesappearsattheendofthisvolume.TimeSeriesApplicationstoFinanceNgaiHangChanChineseUniversityofHongKongWILEY-INTERSCIENCEAJOHNWILEY&SONS,INC.,PUBLICATIONThisbookispri
3、ntedonacid-freepaper.@Copyright©2002byJohnWiley&Sons,Inc.Allrightsreserved.PublishedsimultaneouslyinCanada.Nopartofthispublicationmaybereproduced,storedinaretrievalsystemortransmittedinanyformorbyanymeans,electronic,mechanical,photocopying,recording,
4、scanningorotherwise,exceptaspermittedunderSections107or108ofthe1976UnitedStatesCopyrightAct,withouteitherthepriorwrittenpermissionofthePublisher,orauthorizationthroughpaymentoftheappropriateper-copyfeetotheCopyrightClearanceCenter,222RosewoodDrive,Da
5、nvers,MA01923,(978)750-8400,fax(978)750-4744.RequeststothePublisherforpermissionshouldbeaddressedtothePermissionsDepartment,JohnWiley&;Sons,Inc.,605ThirdAvenue,NewYork,NY10158-0012,(212)850-6011,fax(212)850-6008.E-Mail:PERMREQ@WILEY.COM.Fororderingan
6、dcustomerservice,call1-800-CALL-WILEY.LibraryofCongressCataloging-in-PublicationDataChan,NgaiHang.Timeseries:applicationstofinance/NgaiHangChan.p.cm.—(Wileyseriesinprobabilityandstatistics.Financialengineeringsection)"AWiley-Intersciencepublication."
7、Includesbibliographicalreferencesandindex.ISBN0-471-41117-5(cloth:alk.paper)1.Time-seriesanalysis.2.Econometrics.3.Riskmanagement.I.Title.II.Series.HA30.3.C472002332'.01'5195—dc212001026955PrintedintheUnitedStatesofAmerica10987654321ToPatandourchildr
8、en,CalvinandDennisThispageintentionallyleftblankContentsPrefacexi1Introduction11.1BasicDescription11.2SimpleDescriptiveTechniques51.2.1Trends51.2.2SeasonalCycles81.3Transformations91.4Example91.5Conclusions131.6Exercises132ProbabilityModels152.1Intro
