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GARCH Models: Structure, Statistical Inference and Financial Applications

By Christian Francq, Jean-Michel Zakoian
Hardcover
$131.95
By Christian Francq, Jean-Michel Zakoian
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Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline

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. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estim...

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Science & TechnologyMathematicsProbability TheoryStatistics