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Estimation in Conditionally Heteroscedastic Time Series Models

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In Stock (410)

£ 53.99

Description

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.

Book Details
EAN:
9783540211358
Binding:
Paperback
Dimensions(mm):
235 x 155 mm
Publication Date:
2004-11-19
Publication Country:
GB