GARCH Models: Structure, Statistical Inference and Financial Applications
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Other Available Formats: Hardcover
- 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.