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1、SpringerFinanceRamaprasadBharShigeyukiHamoriEmpiricalTechniquesinFinanceWith30Figuresand30Tables123ProfessorRamaprasadBharSchoolofBankingandFinanceTheUniversityofNewSouthWalesSydney2052AustraliaE-mail:r.bhar@unsw.edu.auProfessorShigeyukiHamoriGraduateSchoolofEconomicsKobeUniversityRokkodai,Nada-Ku
2、,Kobe657-8501JapanE-mail:hamori@econ.kobe-u.ac.jpMathematicsSubjectClassification(2000):62-02,62-07Cataloging-in-PublicationDataLibraryofCongressControlNumber:2005924539ISBN3-540-25123-5SpringerBerlinHeidelbergNewYorkThisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthemater
3、ialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation,broadcasting,reproductiononmicrofilmorinanyotherway,andstorageindatabanks.Duplicationofthispublicationorpartsthereofispermittedonlyundertheprovi-sionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentvers
4、ion,andper-missionforusemustalwaysbeobtainedfromSpringer-Verlag.ViolationsareliableforprosecutionundertheGermanCopyrightLaw.SpringerisapartofSpringerScience+BusinessMediaspringeronline.com©Springer-VerlagBerlinHeidelberg2005PrintedinGermanyTheuseofgeneraldescriptivenames,registerednames,trademarks
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6、eofContents1Introduction12BasicProbabilityTheoryandMarkovChains2.1RandomVariables2.2FunctionofRandomVariable2.3NormalRandomVariable2.4LognormalRandomVariable2.5MarkovChains2.6PassageTime2.7ExamplesandExercisesReferences3EstimationTechniques193.1Models,ParametersandLikelihood-AnOverview193.2Maximum
7、LikelihoodEstimationandCovarianceMatrixof20Parameters3.3MLEExample-ClassicalLinearRegression223.4DependentObservations233.5PredictionErrorDecomposition243.6SeriallyCorrelatedErrors-Overview253.7ConstrainedOptimiz
