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GARCH Models [2019]

1
Classical Time Series Models and Financial Series
16
<fc>GARCH</fc>(<i>p</i>, <i>q</i>) Processes
59
Mixing*
73
Alternative Models for the Conditional Variance
124
Identification
161
Estimating <fc>ARCH</fc> Models by Least Squares
175
Estimating <fc>GARCH</fc> Models by Quasi‐Maximum Likelihood
217
Tests Based on the Likelihood
249
Optimal Inference and Alternatives to the <fc>QMLE</fc>*
272
Multivariate <fc>GARCH</fc> Processes
317
Financial Applications
345
Parameter‐Driven Volatility Models
367
Appendix A Ergodicity, Martingales, Mixing
377
Appendix B Autocorrelation and Partial Autocorrelation
387
Appendix C Markov Chains on Countable State Spaces
393
Appendix D The Kalman Filter
402
Appendix E Solutions to the Exercises
467
References
485
Index
i
Front Matter
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