Essentials of Time Series for Financial Applications

Index

Note: Page numbers followed by “f” and “t” refer to figures and tables, respectively.

A

ACF, See Autocorrelation function (ACF)

Additive outlier model (AO model), 302, 303, 303

ADF test, See Augmented Dickey–Fuller test (ADF test)

Adjusted R², 6

Advanced univariate volatility modeling, 190–198See also Simple univariate parametric models

empirical estimates of distribution of 1-year T-bill rates, 196f

GARCH models augmented by exogenous factors, 197–198

non-Gaussian marginal innovations, 190–196

volatility forecasts from Gaussian vs. t-Student threshold GARCH(1,1), 194f

Akaike’s information criterion (AIC), 64, 331

Alternative hypothesis, 14

Andrews and Quandt’s single-break test, 294–297, 297f

Andrews–Quandt Sup-LR tests, 294–296

AO model, ...