TY  - BOOK
AU  - Francq,Christian
AU  - Zakoian,Jean-Michel
ED  - Wiley InterScience (Online service)
TI  - GARCH models: structure, statistical inference, and financial applications 
SN  - 9780470670057
AV  - HG106 .F7213 2010
U1  - 332.01/5195 22
PY  - 2010///
CY  - Hoboken, NJ
PB  - Wiley
KW  - Finance
KW  - Mathematical models
KW  - Investments
KW  - fast
KW  - Electronic books
N1  - 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
UR  - https://eresourcesptsl.ukm.remotexs.co/user/login?url=http://onlinelibrary.wiley.com/book/10.1002/9780470670057
ER  -