Estimation in Conditionally Heteroscedastic Time Series Models
In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been repla...
| Κύριος συγγραφέας: | |
|---|---|
| Συγγραφή απο Οργανισμό/Αρχή: | |
| Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2005.
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| Σειρά: | Lecture Notes in Statistics,
181 |
| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Some Mathematical Tools
- Financial Time Series: Facts and Models
- Parameter Estimation: An Overview
- Quasi Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models: A Stochastic Recurrence Equations Approach
- Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models
- Quasi Maximum Likelihood Estimation in a Generalized Conditionally Heteroscedastic Time Series Model with Heavy—tailed Innovations
- Whittle Estimation in a Heavy—tailed GARCH(1,1) Model.
