03426nam 2200673Ia 450 991078502980332120230912123651.01-119-95739-71-282-79451-597866127945130-470-67005-30-470-67004-5(CKB)2670000000032932(EBL)555060(SSID)ssj0000418416(PQKBManifestationID)11271386(PQKBTitleCode)TC0000418416(PQKBWorkID)10377703(PQKB)10590087(Au-PeEL)EBL555060(CaPaEBR)ebr10419082(CaONFJC)MIL279451(Au-PeEL)EBL7147391(CaSebORM)9780470683910(MiAaPQ)EBC555060(OCoLC)654804125(MiAaPQ)EBC7147391(PPN)197664385(EXLCZ)99267000000003293220100415d2010 uy 0engur|n|---|||||txtccrGARCH models[electronic resource] structure, statistical inference, and financial applications /Christian Francq, Jean-Michel Zakoian1st editionHoboken, NJ Wiley20101 online resource (505 p.)Description based upon print version of record.0-470-68391-0 Includes bibliographical references and index.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; IndexThis 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. Key features:Provides up-to-date coverage of the current research in the probabilitFinanceMathematical modelsInvestmentsMathematical modelsFinanceMathematical models.InvestmentsMathematical models.332.01/5195Francq Christian614595Zakoian Jean-Michel614596MiAaPQMiAaPQMiAaPQBOOK9910785029803321Garch models1131696UNINA