All ebooks by Daniel Straumann in PDF

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Add to my wish list Estimation in Conditionally Heteroscedastic Time Series Models Daniel Straumann In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial... Publication date: 2006-01-27 Format: PDF Publisher: Springer Collection: Lecture Notes in Statistics Add to basket £44,99

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Estimation in Conditionally Heteroscedastic Time Series Models

Daniel Straumann

In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial...

Publication date: 2006-01-27

Format: PDF

Publisher: Springer

Collection: Lecture Notes in Statistics

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£44,99

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