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Record Nr. |
UNINA9910785029803321 |
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Autore |
Francq Christian |
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Titolo |
GARCH models [[electronic resource] ] : structure, statistical inference, and financial applications / / Christian Francq, Jean-Michel Zakoian |
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Pubbl/distr/stampa |
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Hoboken, NJ, : Wiley, 2010 |
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ISBN |
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1-119-95739-7 |
1-282-79451-5 |
9786612794513 |
0-470-67005-3 |
0-470-67004-5 |
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Edizione |
[1st edition] |
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Descrizione fisica |
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1 online resource (505 p.) |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Finance - Mathematical models |
Investments - Mathematical models |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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GARCH Models; Contents; Preface; Notation; 1 Classical Time Series Models and Financial Series; 1.1 Stationary Processes; 1.2 ARMA and ARIMA Models; 1.3 Financial Series; 1.4 Random Variance Models; 1.5 Bibliographical Notes; 1.6 Exercises; Part I Univariate GARCH Models; 2 GARCH(p, q) Processes; 3 Mixing*; 4 Temporal Aggregation and Weak GARCH Models; 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* |
Part III Extensions and Applications10 Asymmetries; 11 Multivariate GARCH Processes; 12 Financial Applications; Part IV Appendices; A Ergodicity, Martingales, Mixing; B Autocorrelation and Partial Autocorrelation; C Solutions to the Exercises; D Problems; References; Index |
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Sommario/riassunto |
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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 |
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