Chapter 1: Financial Time Series and Their Characteristics
1.2 Distributional Properties of Returns
Chapter 2: Linear Time Series Analysis and Its Applications
2.2 Correlation and Autocorrelation Function
2.3 White Noise and Linear Time Series
2.9 Regression Models with Time Series Errors
2.10 Consistent Covariance Matrix Estimation
Chapter 3: Conditional Heteroscedastic Models
3.1 Characteristics of Volatility
3.6 The Integrated GARCH Model
3.8 The Exponential GARCH Model
3.11 Random Coefficient Autoregressive Models
3.12 Stochastic Volatility Model
3.13 Long-Memory Stochastic Volatility Model
Appendix: Some RATS Programs for Estimating Volatility Models