Handbook of Financial Time Series |
|
| Author:
| Andersen, Torben Gustav
Mikosch, Thomas |
| ISBN: | 978-1-282-12794-4 |
| Publication Date: | Feb 2010 |
| Publisher: | Springer
|
| Book Format: | Ebook |
| List Price: | USD $758.00 |
Book Description:
|
Covering both the statistical and econometrical point of view, various aspects of the GARCH and stochastic volatility classes, for example distribution properties, estimation and forecasting, are presented alongside recent developments in nonparametric methods, copulas, structural breaks, etc.
Covering both the statistical and econometrical point of view, various aspects of the GARCH and stochastic volatility classes, for example distribution properties, estimation and forecasting, are presented alongside recent developments in nonparametric methods, copulas, structural breaks, etc.