Garch Models. Structure, Statistical Inference And Financial Applications

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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


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Key features Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models

Numerous illustrations and applications to real financial series are provided

Presents a large collection of problems and exercises

Supporting website featuring R codes, Fortran programs and data sets

The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications

The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests

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

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