Compare Prices | Create Shopping Lists with Price Drop Alerts | Set Coupons, Promo Codes & Sales Alerts | Get Access to Exclusive Deals and Much More... All in One Place | Read all about it here

Estimation in Conditionally Heteroscedastic Time Series Models

Estimation in Conditionally Heteroscedastic Time Series Models

Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783540269786
Condition
New
Product Description

In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been replaced by more general and more sophisticated models, such as GARCH (generalized autoregressive heteroscedastic). This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data. This includes the classical statistical issues of consistency and limiting distribution of estimators. Particular attention is addressed to (quasi) maximum likelihood estimation and misspecified models, along to phenomena due to heavy-tailed innovations. The used methods are based on techniques applied to the analysis of stochastic recurrence equations. Proofs and arguments are given wherever possible in full mathematical rigour. Moreover, the theory is illustrated by examples and simulation studies.

Available Colors
Available Sizes
1 Offer Price Range: $39.99 - $39.99
BEST PRICE

Single Product Purchase

$39.99
@ Link.springer.com     BUY Now

Price Comparison

Seller Contact Seller List Price On Sale Shipping Best Promo Final Price Volume Discount Financing Availability Seller's Page
BEST PRICE
1 Product Purchase
@ Link.springer.com
Contact Store Call Store Contact Support
$39.99 $39.99

$39.99
See Site In stock Visit Store

Similar Products

Applied Cryptography and Network Security

$109.99

Inpainting and Denoising Challenges

$54.99

Morphologische Folgen der Nierenpunktion

$29.99

Looking for Alaska by John Green

$12.99

Unternehmensfhrung und Innovationserfolg

$64.99

Geometric Functional Analysis and its Applications

$64.99

Probleme lsen

$49.99

Die Europische Ermittlungsanordnung in Strafsachen

$69.99

Blueberries for Sal by Robert McCloskey

$8.99

Social Constructionism in Vocational Psychology and Career Development

$49.99

Dynamic Light Filters

$109.99

Education and Career Choice

$109.99

Vom Niedergang des unternehmerisch ttigen Staates

$69.99

Der Betriebsvergleich

$59.99

Africa Case Studies in Operations Research

$179.99

Climate Change Impacts on Basin Agro-ecosystems

$59.99

Uncertainty Handling and Quality Assessment in Data Mining

$54.99

The Palgrave Handbook of FinTech and Blockchain

$189.00

Technical Analysis for Algorithmic Pattern Recognition

$129.99

Deep-Buried Hydrocarbon Fields Onshore China: Formation and Distribution

$139.99

Security and Defence: Ethical and Legal Challenges in the Face of Current Conflicts

$129.99

Marine Geochemistry

$79.99

Myth and Philosophy in Platonic Dialogues

$39.99

Nitrogen Cycling in the North Atlantic Ocean and its Watersheds

$109.99

Wissenstransfer mit Wikis und Weblogs

$69.99

Induktive Statistik

$39.99

Credit Default Swaps und Informationsgehalt

$64.99

Onkologische Chirurgie bei alten Patienten

$19.99

The Reconstruction of Post-War Labour Markets in The Southern African Development Community

$169.99

Normaler und hoher Blutdruck und kardiovaskulre Mortalitt bei verschiedenen Vlkern

$44.99

Damselflies

$19.50

The Agricultural Civilization of Ancient China

$129.99

The Orthopedic Consult Survival Guide

$89.99

Immunofluorescence in Clinical Immunology

$109.99

Marxs Grundrisse

$29.99

Space and the Global Village: Tele-services for the 21st Century

$84.99

Investing in Corporate Bonds and Credit Risk

$219.99

Stories from the Deep Earth

$44.99

Korean Entrepreneurship

$109.99

Meta-Narrative in the Movies

$54.99