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 Nowadays ARCH has been replaced by more general and more sophisticated models, such as GARCH (generalized autoregressive heteroscedastic).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

Entrepreneurship im Gesundheitswesen III

$49.99

Diagnosis of the Powertrain Systems for Autonomous Electric Vehicles

$89.00

Residue Reviews

$39.99

Das Kupfer und seine Legirungen

$59.99

Pathogene Mikroorganismen im Grund- und Trinkwasser

$69.99

Blutersatz durch stromafreie Hmoglobinlsung

$69.99

In Vitro Methods for Conservation of Plant Genetic Resources

$169.99

Mramrsutas Aslatipraka

$39.99

Integrated Computer Technologies in Mechanical Engineering - 2021

$279.99

STOP, THAT and One Hundred Other Sleep Scales

$169.99

Flight Stability and Control

$89.99

Science of Sintering

$219.99

Grundkurs Mathematik fr Ingenieure, Natur- und Wirtschaftswissenschaftler

$34.99

Pro PHP XML and Web Services

$54.99

Das Orwellsche Jahrzehnt und die Zukunft der Wissenschaft

$69.99

Human Color Vision

$219.99

Blood Flow in the Heart and Vessels

$109.99

The Secret Sheriff of Sixth Grade

$6.74

Models of the Human in Twentieth-Century Linguistic Theories

$109.99

Experimental Techniques, Rotating Machinery, and Acoustics, Volume 8

$219.99

The Uncertainty-Governance Choice Puzzle Revisited

$39.99

Effects of Higher Education Reforms: Change Dynamics

$49.99

Law Enforcement and Technology

$39.99

The Theory of Chaotic Attractors

$109.99

String Processing and Information Retrieval

$39.99

Die Praxis der Social-Media-Analyse

$49.99

Selected Essays in Empirical Asset Pricing

$39.99

Secondary Metabolism and Cell Differentiation

$84.99

Praxishandbuch Interkulturelles Management

$54.99

Regulating Utilities in an Era of Deregulation

$29.99

Formal Modeling and Analysis of Timed Systems

$54.99

Das Phnix-Phnomen

$34.99

Advanced Language Technologies for Digital Libraries

$69.99

A Problem Book in Real Analysis

$89.99

Karen's Worst Day: A Graphic Novel (Baby-Sitters Little Sister #3) (Hardcover)

$17.24

Humans at the End of the Ice Age

$169.99

Brgermeister in Deutschland

$59.99

Ischemic Blood Flow in the Brain

$169.00

Funktionentheorie mehrerer Vernderlicher

$19.99

Elektrische Megerte und Meeinrichtungen

$44.99