Estimation in conditionally heteroscedastic time series models
Auteur :
Straumann, Daniel
Éditeur :
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN :
9783540211358
Date de publication :
19 nov. 2004
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Allemagne
Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data.