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...
Enregistré dans:
| Auteur principal: | |
|---|---|
| Format: | Livre numérique |
| Langue: | Anglais |
| Publié: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
2005.
Cham : Springer Nature |
| Collection: | Lecture Notes in Statistics
181 |
| Accès en ligne: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Note: |
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 |
Table des matières:
- 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.