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1、AssetPriceDynamics,Volatility,andPredictionAssetPriceDynamics,Volatility,andPredictionStephenJ.TaylorPrincetonUniversityPressPrincetonandOxfordCopyright©2005byPrincetonUniversityPressPublishedbyPrincetonUniversityPress,41WilliamStreet,Princeton,NewJer
2、sey08540IntheUnitedKingdom:PrincetonUniversityPress,3MarketPlace,Woodstock,OxfordshireOX201SYAllrightsreservedLibraryofCongressCataloguing-in-PublicationDataTaylor,Stephen(StephenJ.)Assetpricedynamics,volatility,andprediction/StephenJ.Taylor.p.cm.Incl
3、udesbibliographicalreferencesandindex.ISBN0-691-11537-0(alk.paper)1.Capitalassetspricingmodel.2.FinanceMathematicalmodels.I.Title.HG4636.T3482005332.60151962dc222005048758BritishLibraryCataloguing-in-PublicationDataAcataloguerecordforthisbookisavail
4、ablefromtheBritishLibraryThisbookhasbeencomposedinTimesandtypesetbyT&TProductionsLtd,LondonPrintedonacid-freepaper∞www.pup.princeton.eduPrintedintheUnitedStatesofAmerica10987654321ToAdam,Katherine,andSarahContentsPrefacexiii1Introduction11.1AssetPric
5、eDynamics11.2Volatility11.3Prediction21.4Information21.5Contents31.6Software51.7WebResources6IFoundations72PricesandReturns92.1Introduction92.2TwoExamplesofPriceSeries92.3Data-CollectionIssues102.4TwoReturnsSeries132.5DefinitionsofReturns142.6FurtherEx
6、amplesofTimeSeriesofReturns193StochasticProcesses:DefinitionsandExamples233.1Introduction233.2RandomVariables243.3StationaryStochasticProcesses303.4UncorrelatedProcesses333.5ARMAProcesses363.6ExamplesofARMA(1,1)Specifications443.7ARIMAProcesses463.8ARFI
7、MAProcesses463.9LinearStochasticProcesses483.10Continuous-TimeStochasticProcesses493.11NotationforRandomVariablesandObservations50viiiContents4StylizedFactsforFinancialReturns514.1Introduction514.2SummaryStatistics524.3AverageReturnsandRiskPremia534.4
8、StandardDeviations574.5CalendarEffects594.6SkewnessandKurtosis684.7TheShapeoftheReturnsDistribution694.8ProbabilityDistributionsforReturns734.9AutocorrelationsofReturns764.10AutocorrelationsofTransformedReturns824.11NonlinearityoftheReturnsPro
