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Estimation in Conditionally Heteroscedastic Time Series Models Book

Estimation in Conditionally Heteroscedastic Time Series Models
Estimation in Conditionally Heteroscedastic Time Series Models, , Estimation in Conditionally Heteroscedastic Time Series Models has a rating of 3 stars
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Estimation in Conditionally Heteroscedastic Time Series Models, , Estimation in Conditionally Heteroscedastic Time Series Models
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  • Estimation in Conditionally Heteroscedastic Time Series Models
  • Written by author Daniel Straumann
  • Published by Springer-Verlag New York, LLC, October 2007
  • 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
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Book Categories

Authors

1Introduction1
2Some mathematical tools13
3Financial time series : facts and models37
4Parameter estimation : an overview63
5Quasi maximum likelihood estimation in conditionally heteroscedastic time series models : a stochastic recurrence equations approach85
6Maximum likelihood estimation in conditionally heteroscedastic time series models141
7Quasi maximum likelihood estimation in a generalized conditionally heteroscedastic time series model with heavy-tailed innovations169
8Whittle estimation in a heavy-tailed GARCH(1,1) model187


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