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GARCH Models: Structure, Statistical Inference and Financial Applications
Company: Wiley
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: August
Resource Link: Click here to open
Pages: 504
Download Count: 0
View Count: 18227
Comment Num: 0
Language: English
Source: book
Who Can Read: Free
Date: 6-13-2013
Publisher: Administrator
Summary
This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications.
Author(s)
Francq, C_hristian Sign in to follow this author
Zakoïan, Jean-Michel Sign in to follow this author
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