Estimation in Conditionally Heteroscedastic Time Series Models
Daniel Straumann
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, 2004
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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.
- ISBN-13
- 9783540211358
- ISBN-10
- 3540211357
- Publisher
- Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
- Year
- 2004
- Publication date
- 2004-11-19
- Pages
- 228
- Dimensions
- 235x155x