Can I read GARCH Models (Structure, Statistical Inference and Financial Applications) on EtoBox?

GARCH Models (Structure, Statistical Inference and Financial Applications) by Francq, Christian; Zakoian, Jean-Michel is a scholarly article available to read on EtoBox.

What is GARCH Models (Structure, Statistical Inference and Financial Applications) about?

2.4.1 Even-Order Moments2.4.2 Kurtosis; 2.5 Autocovariances of the Squares of a GARCH; 2.5.1 Positivity of the Autocovariances; 2.5.2 The Autocovariances Do Not Always Decrease; 2.5.3 Explicit Computation of the Autocovariances of the Squares; 2.6 Theoretical Predictions; 2.7 Bibliographical Notes; 2.8 Exercises; Chapter 3 Mixing*; 3.1 Markov Chains with Continuous State Space; 3.2 Mixing Properties of GARCH Processes; 3.3 Bibliographical Notes; 3.4 Exercises; Chapter 4 Alternative Models for the Conditional Variance; 4.1 Stochastic Recurrence Equation (SRE); 4.2 Exponential GARCH Model

Author

Francq, Christian; Zakoian, Jean-Michel

Publisher

John Wiley & Sons, Ltd

Published

2019

Language

EN

ISBN

9781119313489