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GARCH Models [2019]
- 1
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Classical Time Series Models and Financial Series
- 16
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<fc>GARCH</fc>(<i>p</i>, <i>q</i>) Processes
- 59
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Mixing*
- 73
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Alternative Models for the Conditional Variance
- 124
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Identification
- 161
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Estimating <fc>ARCH</fc> Models by Least Squares
- 175
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Estimating <fc>GARCH</fc> Models by Quasi‐Maximum Likelihood
- 217
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Tests Based on the Likelihood
- 249
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Optimal Inference and Alternatives to the <fc>QMLE</fc>*
- 272
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Multivariate <fc>GARCH</fc> Processes
- 317
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Financial Applications
- 345
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Parameter‐Driven Volatility Models
- 367
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Appendix A Ergodicity, Martingales, Mixing
- 377
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Appendix B Autocorrelation and Partial Autocorrelation
- 387
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Appendix C Markov Chains on Countable State Spaces
- 393
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Appendix D The Kalman Filter
- 402
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Appendix E Solutions to the Exercises
- 467
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References
- 485
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Index
- i
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Front Matter