Straumann, Daniel
Estimation in Conditionally Heteroscedastic Time Series Models
1. Introduction
2. Some Mathematical Tools
3. Financial Time Series: Facts and Models
4. Parameter Estimation: An Overview
5. Quasi Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models: A Stochastic Recurrence Equations Approach
6. Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models
7. Quasi Maximum Likelihood Estimation in a Generalized Conditionally Heteroscedastic Time Series Model with Heavy—tailed Innovations
8. Whittle Estimation in a Heavy—tailed GARCH(1,1) Model
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Keywords: MATHEMATICS / Probability & Statistics / General MAT029000
- Author(s)
- Straumann, Daniel
- Publisher
- Springer
- Publication year
- 2005
- Language
- en
- Edition
- 1
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9783540269786