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...
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| Autore principale: | |
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| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
2005.
Cham : Springer Nature |
| Serie: | Lecture Notes in Statistics
181 |
| Accesso online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Estimation in Conditionally Heteroscedastic Time Series Models, Texte imprimé, 9783540211358 • Estimation in Conditionally Heteroscedastic Time Series Models, Texte imprimé, 9783540801061 |
| Riassunto: | 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 Nowadays ARCH has been replaced by more general and more sophisticated models, such as GARCH (generalized autoregressive heteroscedastic). This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data. This includes the classical statistical issues of consistency and limiting distribution of estimators. Particular attention is addressed to (quasi) maximum likelihood estimation and misspecified models, along to phenomena due to heavy-tailed innovations. The used methods are based on techniques applied to the analysis of stochastic recurrence equations. Proofs and arguments are given wherever possible in full mathematical rigour. Moreover, the theory is illustrated by examples and simulation studies. |
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| Descrizione del documento: | Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| ISBN: | 9783540269786 (PDF) |
| ISSN: | 2197-7186 |
| Accesso: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. chttps://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |