Beschreibung
InhaltsangabeIntroduction.- Financial time series: facts and models.- Some mathematical tools.- Parameter estimation: an overview.- The QMLE in heteroscedastic time series models: a stochastic recurrence equations approach.- Maximum-likelihood estimation in conditionally heteroscedastic time series models.- Whittle estimation in a heavy-tailed GARCH (1,1) model.
Produktsicherheitsverordnung
Hersteller:
Springer Verlag GmbH
juergen.hartmann@springer.com
Tiergartenstr. 17
DE 69121 Heidelberg
Inhalt
InhaltsangabeSome Mathematical Tools.- Financial Time Series: Facts and Models.- Parameter Estimation: An Overview.- Quasi Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models: A Stochastic Recurrence Equations Approach.- Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models.- Quasi Maximum Likelihood Estimation in a Generalized Conditionally Heteroscedastic Time Series Model with Heavy-tailed Innovations.- Whittle Estimation in a Heavy-tailed GARCH(1,1) Model.
