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GARCH models : structure, statistical inference and financial applications /

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 ba...

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Détails bibliographiques
Cote:Libro Electrónico
Auteurs principaux: Francq, Christian (Auteur), Zakoian, Jean-Michel (Auteur)
Format: Électronique eBook
Langue:Inglés
Francés
Publié: Chichester, West Sussex, U.K. : John Wiley and Sons, 2010.
Sujets:
Accès en ligne:Texto completo (Requiere registro previo con correo institucional)
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Électronique eBook