GARCH Models: Structure, Statistical Inference and Financial Applications Christian Francq

ISBN: 9780470683910

Published: August 23rd 2010

Hardcover

489 pages


Description

GARCH Models: Structure, Statistical Inference and Financial Applications  by  Christian Francq

GARCH Models: Structure, Statistical Inference and Financial Applications by Christian Francq
August 23rd 2010 | Hardcover | PDF, EPUB, FB2, DjVu, talking book, mp3, ZIP | 489 pages | ISBN: 9780470683910 | 5.11 Mb

This book provides a complete coverage to GARCH modeling, including probability properties, identifying an appropriate model, estimation and testing, multivariate extensions including EGARCH, TGARCH and APGARCH, volatility features such asMoreThis book provides a complete coverage to GARCH modeling, including probability properties, identifying an appropriate model, estimation and testing, multivariate extensions including EGARCH, TGARCH and APGARCH, volatility features such as asymmetries and financial applications.

Many sections are based on up to date research, featured in econometric and statistic journals. GARCH models is accessible to a wide audience who have worked in time series analysis and wish to become familiar with the use and modeling techniques specially devoted to financial time series.



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