| Description |
1 online resource (xiv, 489 pages) : illustrations |
| Physical Medium |
polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 |
| Description |
text file rdaft http://rdaregistry.info/termList/fileType/1002 |
| Bibliography |
Includes bibliographical references and index. |
| Contents |
GARCH Models; Contents; Preface; Notation; 1 Classical Time Series Models and Financial Series; 1.1 Stationary Processes; 1.2 ARMA and ARIMA Models; 1.3 Financial Series; 1.4 Random Variance Models; 1.5 Bibliographical Notes; 1.6 Exercises; Part I Univariate GARCH Models; 2 GARCH(p, q) Processes; 3 Mixing*; 4 Temporal Aggregation and Weak GARCH Models; Part II Statistical Inference; 5 Identification; 6 Estimating ARCH Models by Least Squares; 7 Estimating GARCH Models by Quasi-Maximum Likelihood; 8 Tests Based on the Likelihood; 9 Optimal Inference and Alternatives to the QMLE* |
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Part III Extensions and Applications10 Asymmetries; 11 Multivariate GARCH Processes; 12 Financial Applications; Part IV Appendices; A Ergodicity, Martingales, Mixing; B Autocorrelation and Partial Autocorrelation; C Solutions to the Exercises; D Problems; References; Index. |
| Summary |
This book provides a complete coverage to GARCH modeling, including probability properties, identifying an appropriate model, estimation and testing, multivariate extensions including EGARCH, TGARCH and APGARCH, volatility features such as asymmetries and financial applications. Many sections are based on up to date research, featured in econometric and statistic journals. GARCH models is accessible to a wide audience who have worked in time series analysis and wish to become familiar with the use and modeling techniques specially devoted to financial time series. |
| Language |
Translated from the French. |
| Subject |
Finance -- Mathematical models.
|
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Investments -- Mathematical models.
|
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Finances -- Modèles mathématiques. |
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Investissements -- Modèles mathématiques. |
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Finance -- Mathematical models |
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Investments -- Mathematical models |
| Added Author |
Zakoian, Jean-Michel, author.
|
| Added Title |
General autoregressive conditional heteroskedasticity models |
| Other Form: |
Print version: Francq, Christian. GARCH Models. Chichester : John Wiley & Sons, 2010 9780470670040 (OCoLC)651601984 |
| ISBN |
9780470683910 (cloth) |
|
0470683910 (cloth) |
|
9780470670040 (electronic bk.) |
|
0470670045 (electronic bk.) |
| Standard No. |
9786612794513 |
|
10.1002/9780470670057 doi |
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