| 紀錄類型: |
書目-電子資源
: Monograph/item
|
| 杜威分類號: |
332.01/5195 |
| 書名/作者: |
GARCH models : structure, statistical inference and financial applications // Christian Francq, Jean-Michel Zakoian. |
| 其他題名: |
General autoregressive conditional heteroskedasticity models |
| 作者: |
Francq, Christian. |
| 其他作者: |
Zakoian, Jean-Michel. |
| 出版者: |
Hoboken, NJ : : John Wiley & Sons,, 2019. |
| 面頁冊數: |
1 online resource (xvi, 487 p.) : : ill. |
| 標題: |
Finance - Mathematical models. |
| 標題: |
Investments - Mathematical models. |
| ISBN: |
9781119313472 |
| ISBN: |
9781119313564 |
| ISBN: |
9781119313489 |
| 書目註: |
Includes bibliographical references and index. |
| 摘要、提要註: |
This book provides a complete coverage to GARCH modeling, including probability properties, identifying an appropriate model, estimation and testing, multivariate extensions including GARCH, TGARCH and APGARCH, volatility features such as asymmetries and financial applications. Many sections are based on up to date research, featured in econometric and statistic journals. GARCH models is accessible to a wide audience who have worked in time series analysis and wish to become familiar with the use and modeling techniques specially devoted to financial time series. |
| 電子資源: |
https://onlinelibrary.wiley.com/doi/book/10.1002/9781119313472 |