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GARCH Models Structure Statistical Inference and Financial Applications 1st Edition by Christian Francq, Jean Michel Zakoian 978-1119957393

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GARCH Models Structure Statistical Inference and Financial Applications Christian Francq Digital Instant Download

Author(s): Christian Francq; Jean-Michel Zakoian
ISBN(s): 9781119313564, 1119313562
Edition: ebook
File Details: PDF, 5.63 MB
Year: 2019
Language: english
SKU: EB-7432558 Category: Tags: ,

GARCH Models Structure Statistical Inference and Financial Applications 1st Edition by Christian Francq, Jean Michel Zakoian – Ebook PDF Instant Download/Delivery: 978-1119957393

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Product details:

ISBN 13: 978-1119957393

Author: Christian Francq; Jean-Michel Zakoian

This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications.

Key features:

  • Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models.
  • Numerous illustrations and applications to real financial series are provided.
  • Supporting website featuring R codes, Fortran programs and data sets.
  • Presents a large collection of problems and exercises.

This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.

Table of contents:

  • Chapter 1: Classical Time Series Models and Financial Series

Part I – Univariate GARCH Models

  • Chapter 2: GARCH(p, q) Processes

  • Chapter 3: Mixing

  • Chapter 4: Temporal Aggregation and Weak GARCH Models

Part II – Statistical Inference

  • Chapter 5: Identification

  • Chapter 6: Estimating ARCH Models by Least Squares

  • Chapter 7: Estimating GARCH Models by Quasi-Maximum Likelihood

  • Chapter 8: Tests Based on the Likelihood

  • Chapter 9: Optimal Inference and Alternatives to the QMLE

Part III – Extensions and Applications

  • Chapter 10: Asymmetries

  • Chapter 11: Multivariate GARCH Processes

  • Chapter 12: Financial Applications

Part IV – Appendices

  • Appendix A: Ergodicity, Martingales, Mixing

  • Appendix B: Autocorrelation and Partial Autocorrelation

  • Appendix C: Solutions to the Exercises

  • Appendix D: Problems

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Tags: Christian Francq, Jean Michel Zakoian, Models, Statistical