ANALYSIS OF ENERGY PROJECTIONS AND IMPLICATIONS FOR RESOURCE REQUIREMENTS
CONTENTS 1 FINANCIAL TIME SERIES AND THEIR CHARACTERISTICS 1 1 1 ASSET RETURNS 2 1 2 DISTRIBUTIONAL PROPERTIES OF RETURNS 6 1 3 PROCESSES CONSIDERED 17 2 LINEAR TIME SERIES ANALYSIS AND ITS APPLICATIONS 22 2 1 STATIONARITY 23 2 2 CORRELATION AND AUTOCORRELATION FUNCTION 23 2 3 WHITE NOISE AND LINEAR TIME SERIES 26 2 4 SIMPLE AUTOREGRESSIVE MODELS 28 2 5 SIMPLE MOVING AVERAGE MODELS 42 2 6 SIMPLE ARMA MODELS 48 2 7 UNIT ROOT NONSTATIONARITY 56 2 8 SEASONAL MODELS 61 2 9 REGRESSION MODELS WITH TIME SERIES ERRORS 66 2 10 LONG MEMORY MODELS 72 APPENDIX A SOME SCA COMMANDS 74 3 CONDITIONAL HETEROSCEDASTIC MODELS 79 3 1 CHARACTERISTICS OF VOLATILITY 80 3 2 STRUCTURE OF A MODEL 81 3 3 THE ARCH MODEL 82 3 4 THE GARCH MODEL 93 3 5 THE INTEGRATED GARCH MODEL 100 3 6 THE GARCH M MODEL 101 3 7 THE EXPONENTIAL GARCH MODEL 102 VII VIII CONTENTS 3 8 THE CHARMA MODEL 107 3 9 RANDOM COEF CIENT AUTOREGRESSIVE MODELS 109 3 10 THE STOCHASTIC VOLATILITY MODEL 110 3 11 THE LONG MEMORY STOCHASTIC VOLATILITY MODEL 110 3 12 AN ALTERNATIVE APPROACH 112 3 13 APPLICATION 114 3 14 KURTOSIS OF GARCH MODELS 118 APPENDIX A SOME RATS PROGRAMS FOR ESTIMATING VOLATILITY MODELS 120 4 NONLINEAR MODELS AND THEIR APPLICATIONS 126 4 1 NONLINEAR MODELS 128 4 2 NONLINEARITY TESTS 152 4 3 MODELING 161 4 4 FORECASTING 161 4 5 APPLICATION 164 APPENDIX A SOME RATS PROGRAMS FOR NONLINEAR VOLATILITY MODELS 168 APPENDIX B S PLUS COMMANDS FOR NEURAL NETWORK 169 5 HIGH FREQUENCY DATA ANALYSIS AND MARKET MICROSTRUCTURE 175 5 1 NONSYNCHRONOUS TRADING 176 5 2 BID ASK SPREAD 179 5 3 EMPIRICAL CHARACTERISTICS OF TRANSACTIONS DATA 181 5 4 MODELS FOR PRICE CHANGES 187 5 5 DURATION MODELS 194 5 6 NONLINEAR DURATION MODELS 206 5 7 BIVARIATE MODELS FOR PRICE CHANGE AND DURATION 207 APPENDIX A REVIEW OF SOME PROBABILITY DISTRIBUTIONS 212 APPENDIX B HAZARD FUNCTION 215 APPENDIX C SOME RATS PROGRAMS FOR DURATION MODELS 216 6 CONTINUOUS TIME MODELS AND THEIR APPLICATIONS 221 6 1 OPTIONS 222 6 2 SOME CONTINUOUS TIME STOCHASTIC PROCESSES 222 6 3 ITO S LEMMA 226 6 4 DISTRIBUTIONS OF STOCK PRICES AND LOG RETURNS 231 6 5 DERIVATION OF BLACK SCHOLES DIFFERENTIAL EQUATION 232