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 Nowadays ARCH has been replaced by more general and more sophisticated models, such as GARCH (generalized autoregressive heteroscedastic).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

$36.00
@ Link.springer.com with extra coupon Get Coupon & BUY

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

10% OFF
This deals requires coupon Get Code Here
$36.00
See Site In stock Visit Store

Similar Products

Syphilis

$39.99

Anti-Social Behaviour Orders

$54.99

Die moderne Finanzfunktion

$34.99

Malaria

$169.99

Islamistische Radikalisierung

$69.99

Biological Invasions in New Zealand

$129.00

Indigenous Language Media, Language Politics and Democracy in Africa

$119.99

Life in the West (A True Book: Westward Expansion)

$5.21

Women and Terrorism

$84.99

Cybersecurity Lexicon

$29.99

Thea Stilton and the American Dream

$6.74

Globalism and the New Regionalism

$109.99

Nazi Medicine and the Nuremberg Trials

$109.99

Gender, Morality, and Race in Company India, 1765-1858

$54.99

Handbook of Statistical Bioinformatics

$169.00

Pediatric Surgery Digest

$129.00

Spezielle Mineralogie auf geochemischer Grundlage

$44.99

LGBTI Asylum Seekers and Refugees from a Legal and Political Perspective

$149.00

The Governance of Private Security

$139.99

Analysis of Experimental Algorithms

$89.99

Stability and Control of Time-delay Systems

$84.99

Das traumatische Mittelhirnsyndrom und die Rehabilitation schwerer Schdelhirntraumen

$69.99

Devotional Hindu Dance

$69.99

Prevention Science in School Settings

$109.99

An Introduction to Fuzzy Logic Applications

$109.99

Proceedings of the 10th Congress of the Portuguese Society of Biomechanics

$169.00

Der Balken

$69.99

Computing System Reliability

$84.99

Genetic and Evolutionary Computing

$169.00

Biotechnology for Biofuels: A Sustainable Green Energy Solution

$129.00

Einfhrung in PASCAL

$69.99

Cell Aging: Molecular Mechanisms and Implications for Disease

$54.99

Assessing Trauma in Forensic Contexts

$109.99

Adult Stem Cells

$229.99

Narratives of Learning and Teaching EFL

$109.99

Advances in Stochastic Modelling and Data Analysis

$109.99

Biometric System and Data Analysis

$169.99

Beratungspsychologie

$59.99

Mathematical Foundations of Computer Science 1999

$39.99

Global Health Essentials

$179.99