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 based on up to date research, featured in econometric and statistic journals. GARCH models is accessible to a wide audience who have worked in time series analysis and wish to become familiar with the use and modeling techniques specially devoted to financial time series.

Читать «GARCH Models: Structure, Statistical Inference and Financial Applications»

Купить электронную версию