GARCH models : structure, statistical inference, and financial applications / Christian Francq, Jean-Michel Zakoian.
Publication details: Hoboken, NJ : Wiley, 2010.Description: 1 online resource (pages)Content type:- text
- computer
- online resource
- 9780470670057
- 0470670053
- 1282794515
- 9781282794511
- 9780470683910
- 0470683910
- Modèles GARCH. English
- 332.01/5195 22
- HG106 .F7213 2010
| Item type | Current library | Home library | Call number | Materials specified | Copy number | Status | Date due | Barcode | |
|---|---|---|---|---|---|---|---|---|---|
| AM | PERPUSTAKAAN TUN SERI LANANG | PERPUSTAKAAN TUN SERI LANANG KOLEKSI AM-P. TUN SERI LANANG (ARAS 5) | ebook (Browse shelf(Opens below)) | 1 | Available |
Includes bibliographical references and index.
Front Matter -- Classical Time Series Models and Financial Series -- Univariate GARCH Models. GARCH() Processes -- Mixing -- Temporal Aggregation and Weak GARCH Models -- Statistical Inference. Identification -- Estimating ARCH Models by Least Squares -- Estimating GARCH Models by Quasi-Maximum Likelihood -- Tests Based on the Likelihood -- Optimal Inference and Alternatives to the QMLE -- Extensions and Applications. Asymmetries -- Multivariate GARCH Processes -- Financial Applications -- Appendices. Appendix A: Ergodicity, Martingales, Mixing -- Appendix B: Autocorrelation and Partial Autocorrelation -- Appendix C: Solutions to the Exercises -- Appendix C: Problems -- References -- Index.
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