GARCH Models Structure, Statistical Inference and Financial Applications
| Author/creator | Francq, Prof., Christian Author |
| Other author | Zakoian, Prof., Jean-Micel Author |
| Format | Electronic |
| Publication Info | Wiley [Imprint] Hoboken : John Wiley & Sons, Incorporated |
| Description | 504 p. 24.400 x 016.800 cm. |
| Supplemental Content | Full text available from Ebook Central - Academic Complete |
| Summary | Annotation 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. Key features: Provides uptodate coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, stateoftheart reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| ISBN | 9780470670057 |
| ISBN | 0470670053 (Online Resource) Active Record |
| Standard identifier# | 9780470670057 |
| Stock number | 00028608 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |