Estimation in Conditionally Heteroscedastic Time Series Models :: SCD d'Orléans

Estimation in Conditionally Heteroscedastic Time Series Models

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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Dettagli Bibliografici
Autore principale:	Straumann, Daniel
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

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