Kontakt
Jak kupować
Dostawa
Doradca ds. zakupów
Non-Linear Moving-Average Conditional Heteroskedasticity
Angielski
167 b
Nawet do 30 dni na zwrot
Klienci kupili także
/
Miękka
63.36
zł
/
Twarda
132.70
zł
Heteroskedastic Conditional Variance Modeling is a §particularly rich branch of Econometrics. Despite its §young age, the literature embracing variance models §is indeed impressive. Statistical treatment of §financial time series has been profoundly enlarged by §this class of models. Many characteristics of §financial variables (leptokurticity, asymmetry,...) §can now be modeled. Of course, in the search for §better adjustment, the complexity has been§significantly increased at a non-trivial cost. In §this book we introduce three simple specifications §based upon Robinson s (1977) NLMA model: QMACH, §NLMACH and PLMVES. The first proposal belongs to the §NLMA class whilst the second one is closely related §to it. Both possess similar properties as those of §the ARCH-class. Our last proposal, PLMVES, also §considers long-memory by means of a new concept: §Pseudo Long-Memory, an artifact allowing for long-§memory modeling. These variance models have §advantages none of the inspiring sources (ARCH and §NLMA) possess. This book may help economists in their §quest for a better comprehension of the variance of §economic variables, particularly in the modeling of §financial volatility.
Informacje o książce
Angielski
Kategoria
Podaruj tę książkę jeszcze dziś
To łatwe
1 Dodaj książkę do koszyka i wybierz „dostarczyć jako prezent” 2 W odpowiedzi wyślemy Ci bon 3 Książka dotrze na adres obdarowanegoMogłoby Cię także zainteresować
/
Miękka
138.97
zł
/
Miękka
217.00
zł
/
Miękka
69.13
zł
/
Miękka
63.36
zł
/
Miękka
152.21
zł
/
Twarda
678.92
zł
/
Miękka
127.04
zł
Cześć! Jestem Libroamiko, Twój doradca książkowy.
Jak mogę Ci pomóc?