现货Garch Models: Structure, Statistical Inference and Financial Applications[9781119313571]

1230 九五品

库存4件

上海宝山

认证卖家担保交易快速发货售后保障

作者Francq, Christian ; Zakoian, Jean-Michel

出版社Wiley

ISBN9781119313571

出版时间2019-06

装帧精装

纸张其他

页数504页

正文语种英语

上书时间2023-04-21

已实名已认证进店收藏店铺

商品描述: Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline 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 new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used. GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Varian

— 没有更多了 —