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Estimation in Conditionally Heteroscedastic Time Series Models

Bag om Estimation in Conditionally Heteroscedastic Time Series Models

Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783540211358
  • Indbinding:
  • Paperback
  • Sideantal:
  • 228
  • Udgivet:
  • 19. november 2004
  • Udgave:
  • 2005
  • Størrelse:
  • 155x235x13 mm.
  • Vægt:
  • 780 g.
  • BLACK NOVEMBER
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Leveringstid: 8-11 hverdage
Forventet levering: 6. december 2024

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Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data.

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