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Straumann, Daniel

Estimation in Conditionally Heteroscedastic Time Series Models

Straumann, Daniel - Estimation in Conditionally Heteroscedastic Time Series Models, ebook

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ISBN: 9783540269786
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Table of contents

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)
Publisher
Springer
Publication year
2005
Language
en
Edition
1
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9783540269786

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