Time Series Concepts
Updated: July 10, 2014.
This chapter reviews some basic times series concepts that are important
for describing and modeling nancial time series.
A stochastic process
cfw_ 1 2 +1 = cfw_
is a seq
Diagnostics for Constant Parameters Recall, in the CER model Rt iid N (, 2), t = 1, . . . , T is constant over time 2 is constant over time Q: Is the assumption of constant means and variances consistent with the observed data? Q: How can you determine if
Descriptive Statistics for
Updated: July 7, 2014
In this chapter we use graphical and numerical descriptive statistics to
study the distribution and dependence properties of daily and monthly asset
returns on a number of represent
Updated: June 24, 2014
In this Chapter we cover asset return calculations with an emphasis on
equity returns. Section 1.1 covers basic time value of money calculations.
Section 1.2 covers asset return calculations, including