Estimation in Conditionally Heteroscedastic Time Series Models / by Daniel Straumann
(Lecture Notes in Statistics ; 181)
| データ種別 | 電子ブック |
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| 出版者 | Berlin, Heidelberg : Springer Berlin Heidelberg |
| 出版年 | 2005 |
| 本文言語 | 英語 |
| 大きさ | XVI, 228 p : online resource |
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| 内容注記 | Some Mathematical Tools Financial Time Series: Facts and Models Parameter Estimation: An Overview Quasi Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models: A Stochastic Recurrence Equations Approach Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models Quasi Maximum Likelihood Estimation in a Generalized Conditionally Heteroscedastic Time Series Model with Heavy—tailed Innovations Whittle Estimation in a Heavy—tailed GARCH(1,1) Model |
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| 一般注記 | In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been replaced by more general and more sophisticated models, such as GARCH (generalized autoregressive heteroscedastic). This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data. This includes the classical statistical issues of consistency and limiting distribution of estimators. Particular attention is addressed to (quasi) maximum likelihood estimation and misspecified models, along to phenomena due to heavy-tailed innovations. The used methods are based on techniques applied to the analysis of stochastic recurrence equations. Proofs and arguments are given wherever possible in full mathematical rigour. Moreover, the theory is illustrated by examples and simulation studies |
| 著者標目 | *Straumann, Daniel author SpringerLink (Online service) |
| 件 名 | LCSH:Statistics LCSH:Economics, Mathematical FREE:Statistics FREE:Statistics for Business/Economics/Mathematical Finance/Insurance FREE:Quantitative Finance |
| 分 類 | DC23:330.015195 |
| 巻冊次 | ISBN:9783540269786 
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| ISBN | 9783540269786 |
| URL | http://dx.doi.org/10.1007/b138400 |
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