TIME SERIES ECONOMETRICS. CONDITIONAL VARIANCE MODELS
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Time Series Econometrics. Conditional Variance Models (Paperback) (2020)
~EN PB NWISBN: 9781716568213 bzw. 1716568218, vermutlich in Englisch, Lulu.com, United States, Taschenbuch, neu.
Lieferung aus: Vereinigtes Königreich Großbritannien und Nordirland, Free shipping.
Von Händler/Antiquariat, Book Depository International [58762574], London, United Kingdom.
Language: English. Brand new Book. Conditional variance models are appropriate for time series that do not exhibit significant autocorrelation, but are serially dependent. For modeling time series that are both autocorrelated and serially dependent, you can consider using a composite conditional mean and variance model. Two characteristics of financial time series that conditional variance models address are: Volatility clustering and Leverage effects. Volatility is the conditional standard deviation of a time series. Autocorrelation in the conditional variance process results in volatility clustering. The GARCH model and its variants model autoregression in the variance series. Leverage effects. The volatility of some time series responds more to large decreases than to large increases. This asymmetric clustering behavior is known as the leverage effect. The EGARCH and GJR models have leverage terms to model this asymmetry. In this book a variety of examples are presented, all of them treated with MATLAB.
Von Händler/Antiquariat, Book Depository International [58762574], London, United Kingdom.
Language: English. Brand new Book. Conditional variance models are appropriate for time series that do not exhibit significant autocorrelation, but are serially dependent. For modeling time series that are both autocorrelated and serially dependent, you can consider using a composite conditional mean and variance model. Two characteristics of financial time series that conditional variance models address are: Volatility clustering and Leverage effects. Volatility is the conditional standard deviation of a time series. Autocorrelation in the conditional variance process results in volatility clustering. The GARCH model and its variants model autoregression in the variance series. Leverage effects. The volatility of some time series responds more to large decreases than to large increases. This asymmetric clustering behavior is known as the leverage effect. The EGARCH and GJR models have leverage terms to model this asymmetry. In this book a variety of examples are presented, all of them treated with MATLAB.
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TIME SERIES ECONOMETRICS. CONDITIONAL VARIANCE MODELS (2020)
~EN NW RPISBN: 9781716568213 bzw. 1716568218, vermutlich in Englisch, Lulu Press, neu, Nachdruck.
Von Händler/Antiquariat, Books2Anywhere [190245], Fairford, GLOS, United Kingdom.
New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000.
New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000.
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TIME SERIES ECONOMETRICS. CONDITIONAL VARIANCE MODELS (2017)
~EN PB NW RPISBN: 9781716568213 bzw. 1716568218, vermutlich in Englisch, Lulu.com, Taschenbuch, neu, Nachdruck.
Von Händler/Antiquariat, Ria Christie Collections [59718070], Uxbridge, United Kingdom.
PRINT ON DEMAND Book; New; Publication Year 2017; Fast Shipping from the UK.
PRINT ON DEMAND Book; New; Publication Year 2017; Fast Shipping from the UK.
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Time Series Econometrics. Conditional Variance Models (2020)
~EN PB NWISBN: 9781716568213 bzw. 1716568218, vermutlich in Englisch, Lulu.com, Taschenbuch, neu.
Lieferung aus: Vereinigtes Königreich Großbritannien und Nordirland, plus shipping, Shipping area: EUR.
Von Händler/Antiquariat, Booksplease, MERSEYSIDE, Southport, [RE:3].
Trade paperback.
Von Händler/Antiquariat, Booksplease, MERSEYSIDE, Southport, [RE:3].
Trade paperback.
5
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Time Series Econometrics. Conditional Variance Models (2020)
~EN PB NWISBN: 9781716568213 bzw. 1716568218, vermutlich in Englisch, Lulu.com, Taschenbuch, neu.
Lieferung aus: Vereinigte Staaten von Amerika, plus shipping, Shipping area: STOCKNEW.
Von Händler/Antiquariat, Alibris, NV, Sparks, [RE:5].
Trade paperback.
Von Händler/Antiquariat, Alibris, NV, Sparks, [RE:5].
Trade paperback.
6
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Time Series Econometrics. Conditional Variance Models
~EN PB NWISBN: 9781716568213 bzw. 1716568218, vermutlich in Englisch, Lulu. com, Taschenbuch, neu.
Lieferung aus: Vereinigte Staaten von Amerika, plus shipping, Shipping area: DOM.
Von Händler/Antiquariat, Paperbackshop, IL, Glendale Heights, [RE:4].
Softcover.
Von Händler/Antiquariat, Paperbackshop, IL, Glendale Heights, [RE:4].
Softcover.
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Time Series Econometrics. Conditional Variance Models R Prost Author
~EN PB NWISBN: 9781716568213 bzw. 1716568218, vermutlich in Englisch, Lulu.com, Taschenbuch, neu.
Lieferung aus: Vereinigte Staaten von Amerika, In Stock, plus shipping.
Time Series Econometrics Conditional Variance Models,R Prost.
Time Series Econometrics Conditional Variance Models,R Prost.
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