GARCH models : structure, statistical inference and financial applications / Christian Francq, Jean-Michel Zakoïan.
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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| Online Access: |
Full Text (via O'Reilly/Safari) |
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| Main Authors: | , |
| Other title: | Modèles GARCH. English General autoregressive conditional heteroskedasticity models |
| Format: | eBook |
| Language: | English French |
| Published: |
Chichester, West Sussex, U.K. :
John Wiley and Sons,
2010.
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| Subjects: |
Internet
Full Text (via O'Reilly/Safari)Online
| Call Number: |
HG106 .F7213 2010eb
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| HG106 .F7213 2010eb | Available |