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GARCH modelsstructure, statistical i...

Francq, Christian.

GARCH modelsstructure, statistical inference and financial applications /

Record Type:	Electronic resources : Monograph/item
Title/Author:	GARCH modelsChristian Francq, Jean-Michel Zakoian.
Reminder of title:	structure, statistical inference and financial applications /
remainder title:	General autoregressive conditional heteroskedasticity models
Author:	Francq, Christian.
other author:	Zakoian, Jean-Michel.
Published:	Hoboken, NJ :John Wiley & Sons,2019.
Description:	1 online resource (xvi, 487 p.) :ill.
Subject:	FinanceMathematical models.
Online resource:	https://onlinelibrary.wiley.com/doi/book/10.1002/9781119313472
ISBN:	9781119313472$q(electronic bk.)

GARCH modelsstructure, statistical inference and financial applications /
Francq, Christian.

GARCH modelsstructure, statistical inference and financial applications /[electronic resource] :General autoregressive conditional heteroskedasticity modelsChristian Francq, Jean-Michel Zakoian. - 2nd ed. - Hoboken, NJ :John Wiley & Sons,2019. - 1 online resource (xvi, 487 p.) :ill.

Includes bibliographical references and index.

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.

Translated from the French.

ISBN: 9781119313472$q(electronic bk.)Subjects--Topical Terms:

183782
Finance
--Mathematical models.

LC Class. No.: HG106 / .F7213 2019

Dewey Class. No.: 332.01/5195

GARCH modelsstructure, statistical inference and financial applications /
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020 $a 9781119313472$q(electronic bk.)
020 $a 9781119313564$q(Adobe PDF)
020 $a 9781119313489$q(ePub)
020 $z 9781119313571$q(hbk.)
035 $a 1083672934
040 $a DLC $b eng $c DLC $d OCLCO $d OCLCF $d DG1 $d N $d YDX $d EBLCP $d MERER $d YDX $d CHVBK
041 1 $a eng $h fre
050 1 4 $a HG106 $b .F7213 2019
082 0 0 $a 332.01/5195 $2 23
100 1 $a Francq, Christian. $3 544024
240 1 0 $a Modèles GARCH. $l English
245 1 0 $a GARCH models $h [electronic resource] : $b structure, statistical inference and financial applications / $c Christian Francq, Jean-Michel Zakoian.
246 3 $a General autoregressive conditional heteroskedasticity models
250 $a 2nd ed.
260 $a Hoboken, NJ : $b John Wiley & Sons, $c 2019.
300 $a 1 online resource (xvi, 487 p.) : $b ill.
504 $a Includes bibliographical references and index.
520 $a 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.
546 $a Translated from the French.
588 $a Description based on print version record.
650 0 $a Finance $x Mathematical models. $3 183782
650 0 $a Investments $x Mathematical models. $3 221368
700 1 $a Zakoian, Jean-Michel. $3 544025
856 4 0 $u https://onlinelibrary.wiley.com/doi/book/10.1002/9781119313472