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1
GARCH
models : structure, statistical inference and financial applications
by
Francq, Christian
,
Zakoian, Jean-Michel
Published 2010
John Wiley and Sons
Table of Contents:
“
...
ARCH
Models by Least Squares; 7 Estimating
GARCH
Models by Quasi-Maximum Likelihood; 8 Tests Based...
”
Call Number:
HG106
Read Now
2
Bootstrapping Stationary ARMA-
GARCH
Models
by
Shimizu, Kenichi
Published 2010
Vieweg+Teubner Verlag
Table of Contents:
“
...Bootstrap Does not Always Work -- Parametric AR(p)-
ARCH
(q) Models -- Parametric ARMA(p, q)-
GARCH
(r...
”
Read Now
3
Feature Papers of Forecasting 2021
by
Leva, Sonia
Published 2022
MDPI - Multidisciplinary Digital Publishing Institute
Subjects:
“
...
ARCH
-
GARCH
...
”
Read Now
4
Handbook of Financial Time Series
Published 2009
Springer Berlin Heidelberg
Table of Contents:
“
..., Mixing, Distributional Properties and Moments of
GARCH
(p, q)#x2013;Processes --
ARCH
(#x221E;) Models...
”
Read Now
5
Modelling stock market volatility : bridging the gap to continuous time
by
Rossi, Peter E.
Published 1996
Academic Press
Table of Contents:
“
...Modelling Stock Market Volatility Changes -- Stationarity and Persistence in the
GARCH
(I, I) Model...
”
Call Number:
HG4636
Read Now
6
Econometric analysis of financial and economic time series
by
Fomby, Thomas B.
Published 2006
Emerald
Table of Contents:
“
...A multivariate heavy-tailed distribution for
ARCH
/
GARCH
residuals / Dimitris N. Politis -- A...
”
Call Number:
HB139
Read Now
7
Time Series Models
by
Deistler, Manfred
,
Scherrer, Wolfgang
Published 2022
Springer International Publishing
Table of Contents:
“
... Models with Exogenous Variables -- 9 Granger Causality -- 10 Dynamic Factor Models -- 10
ARCH
and
GARCH
...
”
Read Now
8
Modelle zur Schätzung der Volatilität : Eine theoretische und empirische Analyse am Beispiel von Finanzmarktdaten
by
Specht, Katja
Published 2000
Deutscher Universitätsverlag
Table of Contents:
“
... Modelle zur Volatilitätsschätzung -- 4 Spezifikation und Güte von Modellen der
ARCH
-Familie -- II...
”
Read Now
9
Time Series Econometrics : Learning Through Replication
by
Levendis, John D.
Published 2023
Springer International Publishing
Table of Contents:
“
... -- Structural Breaks --
ARCH
,
GARCH
and Time-varying Variance -- Vector Autoregressions I: Basics -- Vector...
”
Read Now
10
Essentials of time series for financial applications
by
Guidolin, Massimo
,
Pedio, Manuela
Published 2018
Academic Press, an imprint of Elsevier
Table of Contents:
“
... Models,
ARCH
and
GARCH
; Abstract; 5.1 Stylized Facts and Preliminaries; 5.2 Simple Univariate Parametric...
”
Call Number:
QA280
Read Now
11
Economic and Financial Modelling with EViews : A Guide for Students and Professionals
by
Aljandali, Abdulkader
,
Tatahi, Motasam
Published 2018
Springer International Publishing
Table of Contents:
“
... -- Chapter 8: Modelling volatility in finance and economics -
arch
,
garch
and egrach models -- Chapter 9...
”
Read Now
12
Introductory Mathematics and Statistics for Islamic Finance
by
Mirakhor, Abbas
Published 2014
Wiley
Table of Contents:
“
...: Theory and Applications -- Modeling Volatility:
ARCH
-
GARCH
Models -- Asset Pricing under Uncertainty...
”
Call Number:
HG4014
Read Now
13
New Introduction to Multiple Time Series Analysis
by
Lütkepohl, Helmut
Published 2005
Springer Berlin Heidelberg
Table of Contents:
“
... VAR Models to Infinite Order Processes -- Time Series Topics -- Multivariate
ARCH
and
GARCH
Models...
”
Read Now
14
Python for finance : financial modeling and quantitative analysis explained
by
Yan, Yuxing
Published 2017
Packt Publishing
Table of Contents:
“
..., Implied Volatility,
ARCH
, and
GARCH
-- Index...
”
Call Number:
QA76.73.P98
Read Now
15
Market Microstructure and Nonlinear Dynamics : Keeping Financial Crisis in Context
Published 2014
Springer International Publishing
Table of Contents:
“
... Measures on the Volatility of the Stock Market Stress Index in the Euro Zone (Application of
ARCH
/
GARCH
...
”
Read Now
16
Computer-Aided Introduction to Econometrics
Published 2003
Springer Berlin Heidelberg
Table of Contents:
“
... Model -- 6.6
GARCH
(p,q) Model -- 6.7 Extensions of
ARCH
Models -- 6.8 Two Examples of Spanish Financial...
”
Read Now
17
Nonlinear Time Series Analysis of Economic and Financial Data
Published 1999
Springer US
Table of Contents:
“
... Adjustment Towards Long-Run Money Demand -- 10 Asymmetric Nonlinear Smooth Transition
Garch
Models -- 11...
”
Read Now
18
Risks and Resilience of Emerging Economies : Essays in Honour of Professor Ajitava Raychaudhuri
Published 2023
Springer Nature Singapore
Table of Contents:
“
... and Growth of Price: Evidence from Rice Production in India using
ARCH
/
GARCH
and Panel VECM Approach...
”
Read Now
19
Introduction to R for quantitative finance : solve a diverse range of problems with R, one of the most powerful tools for quantitative finance
by
Daróczi, Gergely
Published 2013
Packt Publishing
Table of Contents:
“
...; Volatility forecasting for risk management; Testing for
ARCH
effects;
GARCH
model specification;
GARCH
model...
”
Call Number:
QA276.45.R3
Read Now
20
Estimation in Conditionally Heteroscedastic Time Series Models
by
Straumann, Daniel
Published 2005
Springer Berlin Heidelberg
Table of Contents:
“
... Heteroscedastic Time Series Model with Heavy—tailed Innovations -- Whittle Estimation in a Heavy—tailed
GARCH
(1,1...
”
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