Non-Linear Moving-Average Conditional Heteroskedasticity

Name: Non-Linear Moving-Average Conditional Heteroskedasticity
Brand: VDM Verlag
SKU: 9783639175134
Price: 1618 CZK
Availability: InStock

Autor: Daniel Ventosa-Santaularia

Jazyk:

Vazba: Brožovaná

Vydavatel: VDM Verlag

Dostupnost: U nakladatele na objednávku

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Heteroskedastic Conditional Variance Modeling is a §particularly rich branch of Econometrics. Despit...

Informace o knize

Autor

Daniel Ventosa-Santaularia

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2009

Stránek

180

EAN

9783639175134

ISBN

3639175131

Enbook ID

06825810

Vydavatel

VDM Verlag

Hmotnost

272

Rozměry

152 x 229 x 10

Kompletní popis

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.

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Non-Linear Moving-Average Conditional Heteroskedasticity

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