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Estimation in Conditionally Heteroscedastic Time Series Models

Estimation in Conditionally Heteroscedastic Time Series Models


In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been replaced by more general and more sophisticated models, such as GARCH (generalized autoregressive heteroscedastic). This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data. This includes the classical statistical issues of consistency and limiting distribution of estimators. Particular attention is addressed to (quasi) maximum likelihood estimation and misspecified models, along to phenomena due to heavy-tailed innovations. The used methods are based on techniques applied to the analysis of stochastic recurrence equations. Proofs and arguments are given wherever possible in full mathematical rigour. Moreover, the theory is illustrated by examples and simulation studies.

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Produktinformasjon
Format
Pocket
Utgivelsesår
2004
Første salgsdato
19.11.2004
Forlag
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Språk
Engelsk
Antall sider
228
Høyde
235 mm
Bredde
155 mm
Serie
Lecture Notes in Statistics
ISBN
9783540211358
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