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GARCH Models
book

GARCH Models

by Christian Francq, Jean-Michel Zakoian
August 2010
Intermediate to advanced content levelIntermediate to advanced
504 pages
12h 59m
English
Wiley
Content preview from GARCH Models

References

Abramson, A. and Cohen, I. (2008) Single-sensor audio source separation using classification and estimation approach and GARCH modelling. IEEE Transactions on Audio Speech and Language Processing 16, 1528–1540.

Alexander, C. (2002) Principal component models for generating large GARCH covariance matrices. Economic-Notes 31, 337–359.

Andersen, T.G. (1994) Stochastic autoregressive volatility: a framework for volatility modeling. Mathematical Finance 4, 103–119.

Andersen, T.G. and Bollerslev, T. (1998) Answering the skeptics: yes, standard volatility models do provide accurate forecasts. International Economic Review 39, 885–906.

Andersen, T.G., Bollerslev, T., Diebold, F.X. and Labys, P. (2003) Modeling and forecasting realized volatility. Econometrica 71, 579–625.

Andersen, T.G., Davis, R.A., Kreiss, J.-P. and Mikosch, T. (eds) (2009) Handbook of Financial Time séries. Berlin: Springer.

Andrews, B. (2009) Rank based estimation for GARCH processes. Discussion Paper, Colorado State University.

Andrews, D.W.K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817–858.

Andrews, D.W.K. (1997) Estimation when a parameter is on a boundary of the parameter space: part II. Unpublished manuscript, Yale University.

Andrews, D.W.K. (1999) Estimation when a parameter is on a boundary. Econometrica 67, 1341–1384.

Andrews, D.W.K. (2001) Testing when a parameter is on a boundary of the maintained hypothesis. Econometrica 69, 683–734. ...

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Publisher Resources

ISBN: 9780470683910