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Estimation in Conditionally Heteroscedastic Time Series Models
part of the Lecture Notes in Statistics series
- Language:
- English
- ISBN:
- 9783540211358
- Binding:
- Paperback
- Pages:
- 228
- Published:
- November 18, 2004
- Edition:
- 2005
- Dimensions:
- 155x235x13 mm.
- Weight:
- 780 g.
Delivery:
1-2 weeks
Expected delivery: November 21, 2024
Description of Estimation in Conditionally Heteroscedastic Time Series Models
Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data.
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