GARCH Models: Structure, Statistical Inference and Financial Applications - Rilegato

Francq, Christian; Zakoian, Jean-michel

Rilegato

ISBN 10: 0470683910 ISBN 13: 9780470683910

Casa editrice: John Wiley & Sons Inc, 2010

Riassunto

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 as well as financial applications.

This authoritative, state-of-the-art reference work is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of econometric time series models.

Su questo libro

Recensione:

This book is very well written and a joy to read. The style of presentation makes it an excellent text for advanced graduate students and researchers alike.   (JASA, 1 June 2012)

 

 

L'autore:

Christian Francq University Lille 3, Laboratory EQUIPPE (Quantitative Economics, Interaction, Public Policies and Econometrics), France
Jean-Michel Zakoian University Lille 3, Laboratory EQUIPPE and Co-director, Laboratory for Finance and Insurance at CREST (Center for Research in Economics and Statistics), France

Su questa edizione

• Editore: John Wiley & Sons Inc
• Data di pubblicazione: 2010
• ISBN 10: 0470683910
• ISBN 13: 9780470683910
• Rilegatura: Copertina rigida
• Numero edizione: 1
• Numero di pagine: 489