Kontakt
Kako kupovati
Dostava
Savjetnik za kupnju
Non-Linear Moving-Average Conditional Heteroskedasticity
Engleski
158 b
Do 30 dana za povrat
Kupci su kupili i
/
Meki uvez
14.82
€
/
Tvrdi uvez
29.65
€
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.
Informacije o knjizi
Engleski
Kategorija
Poklonite ovu knjigu još danas
To je jednostavno
1 Dodajte knjigu u košaricu i odaberite isporuku kao poklon 2 Zauzvrat ćemo vam poslati kupon 3 Knjiga dolazi na adresu poklonoprimcaMoglo bi vas zanimati i
/
Meki uvez
32.48
€
/
Meki uvez
50.74
€
/
Meki uvez
16.13
€
/
Meki uvez
14.82
€
/
Meki uvez
35.60
€
/
Tvrdi uvez
158.58
€
/
Meki uvez
29.65
€
Dobar dan! Ja sam Libroamiko, vaš književni savjetnik.
Kako vam mogu pomoći?