Commentaire :

ISBN 13 : 978-1119313571

Sommaire :
Notation
1 Classical Time Series Models and Financial Series

Part I Univariate GARCH Models
2 GARCH(p, q) Processes
3 Mixing*
4 Alternative Models for the Conditional Variance

Part II Statistical Inference
5 Identification
6 Estimating ARCH Models by Least Squares
7 Estimating GARCH Models by Quasi-Maximum Likelihood
8 Tests Based on the Likelihood
9 Optimal Inference and Alternatives to the QMLE*
9.3 Alternative Estimation Methods

Part III Extensions and Applications
10 Multivariate GARCH Processes
11 Financial Applications
12 Parameter-Driven Volatility Models
A Ergodicity, Martingales, Mixing
B Autocorrelation and Partial Autocorrelation
C Markov Chains on Countable State Spaces
D The Kalman Filter
E Solutions to the Exercises
References
Index

Langue : Anglais

Edition : 2ème

Lieu d'édition : TORONTO

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque