Francq, Christian. <br/><br/>
GARCH models :  structure, statistical inference, and financial applications / 
Christian Francq, Jean-Michel Zakoian. 
 - Hoboken, NJ :  Wiley,  2010. 
 - 1 online resource (pages) 
<br/><br/>Includes bibliographical references and index. 
<br/><br/>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. 
<br/><br/><label>ISBN: </label>9780470670057 0470670053 1282794515 9781282794511 9780470683910 0470683910 
<br/><br/><label>Standard No.: </label>10.1002/9780470670057  doi 
<br/><br/><label>Source: </label>10.1002/9780470670057  Wiley InterScience  http://www3.interscience.wiley.com 
<br/><br/><label>LCCN: </label>
<br/><br/><label>Subjects--Topical Terms: </label><br/>Finance--Mathematical models.<br/>Investments--Mathematical models.<br/>Finance--Mathematical models.<br/>Investments--Mathematical models.
<br/><br/><label>Index Terms--Genre/Form: </label><br/>Electronic books.
<br/><br/><label>LC Class. No.: </label>HG106  / .F7213 2010 
<br/><br/><label>Dewey Class. No.: </label>332.01/5195