ISBN-10:
3540211357
ISBN-13:
9783540211358
Pub. Date:
12/22/2004
Publisher:
Springer Berlin Heidelberg
Estimation in Conditionally Heteroscedastic Time Series Models / Edition 1

Estimation in Conditionally Heteroscedastic Time Series Models / Edition 1

by Daniel Straumann

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Product Details

ISBN-13: 9783540211358
Publisher: Springer Berlin Heidelberg
Publication date: 12/22/2004
Series: Lecture Notes in Statistics , #181
Edition description: 2005
Pages: 228
Product dimensions: 6.10(w) x 9.25(h) x 0.36(d)

Table of Contents

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.

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