|
|
 |
|
Viewing report
|
|
|
|
GARCH Models: Structure, Statistical Inference and Financial Applications
John Wiley and Sons Ltd, July 2010, Pages: 504
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 up-to-date 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, state-of-the-art 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.
Product samples
A sample for this product is available. Please Login/Register to download this sample.
Customers who bought this item also bought
Analysis of Financial Time Series, 3rd Edition
Time Series: Applications to Finance with R and S-Plus(R), 2nd Edition
Option Pricing and Estimation of Financial Models with R
Methods and Applications of Statistics in Business, Finance, and Management Science
Rethinking Risk Measurement and Reporting: Volume II - Examples and Applications from Finance
How to Understand and Use Mathematics for Derivatives: Vol. 2
Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab
Financial Models with Levy Processes and Volatility Clustering
Dynamic Copula Methods in Finance
Modeling Risk: Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Forecasting, and Portfolio Optimization, + DVD, 2nd Edition
|
|
|
|
