GARCH models structure, statistical inference, and financial applications
This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as wel...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, NJ :
Wiley
2010.
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| Edición: | 1st edition |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009628459206719 |
| Sumario: | This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features:Provides up-to-date coverage of the current research in the probabilit |
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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (505 p.) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781119957393 9781282794511 9786612794513 9780470670057 9780470670040 |
