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Estimation in Conditionally Heteroscedastic Time Series Models
In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been repla...
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| Auteur principal : | |
|---|---|
| Format : | Livre |
| Langue : | anglais |
| Titre complet : | Estimation in Conditionally Heteroscedastic Time Series Models / by Daniel Straumann. |
| Publié : |
Berlin, Heidelberg :
Springer Berlin Heidelberg
, 2005 |
| Collection : | Lecture notes in statistics (Berlin, West) ; 181 |
| Titre de l'ensemble : | Lecture Notes in Statistics vol. 181 |
| Disponibilité : | L'accès complet au document est réservé aux usagers des établissements qui en ont fait l'acquisition |
| Contenu : | Some Mathematical Tools. Financial Time Series: Facts and Models. Parameter Estimation: An Overview. Quasi Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models: A Stochastic Recurrence Equations Approach. Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models. Quasi Maximum Likelihood Estimation in a Generalized Conditionally Heteroscedastic Time Series Model with Heavy tailed Innovations. Whittle Estimation in a Heavy tailed GARCH(1,1) Model. |
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| Documents associés : | Autre format:
Estimation in conditionally heteroscedastic time series models |
Bib. CRDM (Mathématiques)
| | Cote | Prêt | Statut |
|---|---|---|---|
| Bibliothèque | LNS/181 | Prêt sans prolongation | Disponible |