GARCH models : structure, statistical inference and financial applications

GARCH models : structure, statistical inference and financial applications / Christian Francq, Jean-Michel Zakoïan.

This book provides a complete coverage to GARCH modeling, including probability properties, identifying an appropriate model, estimation and testing, multivariate extensions including EGARCH, TGARCH and APGARCH, volatility features such as asymmetries and financial applications. Many sections are ba...

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Bibliographic Details
Main Authors: Francq, Christian (Author), Zakoian, Jean-Michel (Author)
Format: eBook
Language:English
French
Published: Chichester, West Sussex, U.K. : John Wiley and Sons, 2010.
Subjects:
Finance > Mathematical models.
Investments > Mathematical models.
BUSINESS & ECONOMICS > Finance.
Finance > Mathematical models
Investments > Mathematical models
Online Access:Click for online access
Uniform Title:Modèles GARCH.

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