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Synopsis
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, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used.
GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references.
- Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH models
- Covers significant developments in the field, especially in multivariate models
- Contains completely renewed chapters with new topics and results
- Handles both theoretical and applied aspects
- Applies to researchers in different fields (time series, econometrics, finance)
- Includes numerous illustrations and applications to real financial series
- Presents a large collection of exercises with corrections
- Supplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with corrections
GARCH Models, 2nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
À propos de l?auteur
CHRISTIAN FRANCQ, PHD, is Professor of Econometrics and Finance at CREST (Center for Research in Economics and Statistics) and ENSAE (National School of Statistics and Economic Administration).
JEAN-MICHEL ZAKOIAN, PHD, is Professor of Econometrics and Finance at CREST (Center for Research in Economics and Statistics) and ENSAE (National School of Statistics and Economic Administration).
They have both published various papers on this topic in statistical and econometric journals, including Econometrica, Econometric Theory, Journal of Econometrics, Bernoulli, Journal of the Royal Statistical Society (Series B) and Journal of the American Statistical Association.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
- ÉditeurJohn Wiley & Sons Inc
- Date d'édition2019
- ISBN 10 1119313570
- ISBN 13 9781119313571
- ReliureRelié
- Langueanglais
- Numéro d'édition2
- Nombre de pages512
- Coordonnées du fabricantnon disponible
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GARCH Models
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John Wiley and Sons Inc, 2019
ISBN 10 : 1119313570
ISBN 13 : 9781119313571
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GARCH Models: Structure, Statistical Inference and Financial Applications
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Garch Models : Structure, Statistical Inference and Financial Applications
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Garch Models: Structure, Statistical Inference and Financial Applications
Edité par
John Wiley & Sons, 2019
ISBN 10 : 1119313570
ISBN 13 : 9781119313571
Neuf
Couverture rigide
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Gebunden. Etat : New. CHRISTIAN FRANCQ, PHD, is Professor of Econometrics and Finance at CREST (Center for Research in Economics and Statistics) and ENSAE (National School of Statistics and Economic Administration).JEAN-MICHEL ZAKOIAN, PHD, is Professor of Econometrics and Finan. N° de réf. du vendeur 280990784
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Garch Models : Structure, Statistical Inference and Financial Applications
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Garch Models : Structure, Statistical Inference and Financial Applications
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Garch Models : Structure, Statistical Inference and Financial Applications
Edité par
Wiley, 2019
ISBN 10 : 1119313570
ISBN 13 : 9781119313571
Ancien ou d'occasion
Couverture rigide
Vendeur : GreatBookPrices, Columbia, MD, Etats-Unis
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GARCH Models
Edité par
John Wiley & Sons, 2019
ISBN 10 : 1119313570
ISBN 13 : 9781119313571
Neuf
Couverture rigide
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GARCH Models (Hardcover)
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John Wiley & Sons Inc, New York, 2019
ISBN 10 : 1119313570
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Hardcover. Etat : new. Hardcover. 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, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used. GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references. Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH modelsCovers significant developments in the field, especially in multivariate modelsContains completely renewed chapters with new topics and resultsHandles both theoretical and applied aspectsApplies to researchers in different fields (time series, econometrics, finance)Includes numerous illustrations and applications to real financial seriesPresents a large collection of exercises with correctionsSupplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with corrections GARCH Models, 2nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability. N° de réf. du vendeur 9781119313571
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Garch Models : Structure, Statistical Inference and Financial Applications
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Buch. Etat : Neu. Neuware - Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the disciplineThis 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, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used.GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references.\* Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH models\* Covers significant developments in the field, especially in multivariate models\* Contains completely renewed chapters with new topics and results\* Handles both theoretical and applied aspects\* Applies to researchers in different fields (time series, econometrics, finance)\* Includes numerous illustrations and applications to real financial series\* Presents a large collection of exercises with corrections\* Supplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with correctionsGARCH Models, 2nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models. N° de réf. du vendeur 9781119313571
Quantité disponible : 2 disponible(s)