LEADER 03426nam 2200673Ia 450 001 9910785029803321 005 20230912123651.0 010 $a1-119-95739-7 010 $a1-282-79451-5 010 $a9786612794513 010 $a0-470-67005-3 010 $a0-470-67004-5 035 $a(CKB)2670000000032932 035 $a(EBL)555060 035 $a(SSID)ssj0000418416 035 $a(PQKBManifestationID)11271386 035 $a(PQKBTitleCode)TC0000418416 035 $a(PQKBWorkID)10377703 035 $a(PQKB)10590087 035 $a(Au-PeEL)EBL555060 035 $a(CaPaEBR)ebr10419082 035 $a(CaONFJC)MIL279451 035 $a(Au-PeEL)EBL7147391 035 $a(CaSebORM)9780470683910 035 $a(MiAaPQ)EBC555060 035 $a(OCoLC)654804125 035 $a(MiAaPQ)EBC7147391 035 $a(PPN)197664385 035 $a(EXLCZ)992670000000032932 100 $a20100415d2010 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aGARCH models$b[electronic resource] $estructure, statistical inference, and financial applications /$fChristian Francq, Jean-Michel Zakoian 205 $a1st edition 210 $aHoboken, NJ $cWiley$d2010 215 $a1 online resource (505 p.) 300 $aDescription based upon print version of record. 311 $a0-470-68391-0 320 $aIncludes bibliographical references and index. 327 $aGARCH 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* 327 $aPart 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 330 $aThis 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 probabilit 606 $aFinance$xMathematical models 606 $aInvestments$xMathematical models 615 0$aFinance$xMathematical models. 615 0$aInvestments$xMathematical models. 676 $a332.01/5195 700 $aFrancq$b Christian$0614595 701 $aZakoian$b Jean-Michel$0614596 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910785029803321 996 $aGarch models$91131696 997 $aUNINA