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GARCH models : structure, statistical inference and financial applications / / Christian Francq, Jean-Michel Zakoian
| GARCH models : structure, statistical inference and financial applications / / Christian Francq, Jean-Michel Zakoian |
| Autore | Francq Christian |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Hoboken, NJ : , : Wiley, , 2019 |
| Descrizione fisica | 1 online resource (506 pages) |
| Disciplina | 332.01/5195 |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-31356-2
1-119-31348-1 1-119-31347-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910555146503321 |
Francq Christian
|
||
| Hoboken, NJ : , : Wiley, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
GARCH models : structure, statistical inference and financial applications / / Christian Francq, Jean-Michel Zakoian
| GARCH models : structure, statistical inference and financial applications / / Christian Francq, Jean-Michel Zakoian |
| Autore | Francq Christian |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Hoboken, NJ : , : Wiley, , 2019 |
| Descrizione fisica | 1 online resource (506 pages) |
| Disciplina | 332.01/5195 |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models |
| ISBN |
1-119-31356-2
1-119-31348-1 1-119-31347-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910830078103321 |
|
Francq Christian
|
||
| Hoboken, NJ : , : Wiley, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
GARCH models [[electronic resource] ] : structure, statistical inference, and financial applications / / Christian Francq, Jean-Michel Zakoian
| GARCH models [[electronic resource] ] : structure, statistical inference, and financial applications / / Christian Francq, Jean-Michel Zakoian |
| Autore | Francq Christian |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2010 |
| Descrizione fisica | 1 online resource (505 p.) |
| Disciplina | 332.01/5195 |
| Altri autori (Persone) | ZakoianJean-Michel |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models |
| ISBN |
1-119-95739-7
1-282-79451-5 9786612794513 0-470-67005-3 0-470-67004-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 |
| Record Nr. | UNINA-9910785029803321 |
|
Francq Christian
|
||
| Hoboken, NJ, : Wiley, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
GARCH models : structure, statistical inference, and financial applications / / Christian Francq, Jean-Michel Zakoian
| GARCH models : structure, statistical inference, and financial applications / / Christian Francq, Jean-Michel Zakoian |
| Autore | Francq Christian |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2010 |
| Descrizione fisica | 1 online resource (505 p.) |
| Disciplina | 332.01/5195 |
| Altri autori (Persone) | ZakoianJean-Michel |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models |
| ISBN |
1-119-95739-7
1-282-79451-5 9786612794513 0-470-67005-3 0-470-67004-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 |
| Record Nr. | UNINA-9910826296903321 |
|
Francq Christian
|
||
| Hoboken, NJ, : Wiley, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||