Sign In | Not yet a member? | Submit your article
 
Home   Technical   Study   Novel   Nonfiction   Health   Tutorial   Entertainment   Business   Magazine   Arts & Design   Audiobooks & Video Training   Cultures & Languages   Family & Home   Law & Politics   Lyrics & Music   Software Related   eBook Torrents   Uncategorized  
Letters: A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Estimation in Conditionally Herteroscedastic Time Series Models
Estimation in Conditionally Herteroscedastic Time Series Models
Date: 14 April 2011, 12:21

Free Download Now     Free register and download UseNet downloader, then you can FREE Download from UseNet.

    Download without Limit " Estimation in Conditionally Herteroscedastic Time Series Models " from UseNet for FREE!
In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been replaced by more general and more sophisticated models, such as GARCH (generalized autoregressive heteroscedastic).
This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data. This includes the classical statistical issues of consistency and limiting distribution of estimators. Particular attention is addressed to (quasi) maximum likelihood estimation and misspecified models, along to phenomena due to heavy-tailed innovations. The used methods are based on techniques applied to the analysis of stochastic recurrence equations. Proofs and arguments are given whereever possible in full mathematical rigour. Moreover, the theory is illustrated by examples and simulation studies.

DISCLAIMER:

This site does not store Estimation in Conditionally Herteroscedastic Time Series Models on its server. We only index and link to Estimation in Conditionally Herteroscedastic Time Series Models provided by other sites. Please contact the content providers to delete Estimation in Conditionally Herteroscedastic Time Series Models if any and email us, we'll remove relevant links or contents immediately.



Comments

Comments (0) All

Verify: Verify

    Sign In   Not yet a member?


Popular searches