Non-Linear Time Series Models: Parametric Estimation Using Estimating Functions
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1
Non-Linear Time Series Models: Parametric Estimation Using Estimating Functions (2012)
EN PB NWISBN: 9783659302015 bzw. 3659302015, in Englisch, 120 Seiten, LAP LAMBERT Academic Publishing, Taschenbuch, neu.
Neuf à partir de: $59.95 (7 Offre)
Utilisé à partir de: $83.50 (3 Offre)
Voir la plus 10 Offres à Amazon.com
Lieferung aus: Vereinigte Staaten von Amerika, Usually ships in 6-10 business days.
Von Händler/Antiquariat, Blackwell's U.K. *Tracked Service to the USA*.
In contrast to the traditional time series analysis, which focuses on the modeling based on the first two moments, the nonlinear GARCH models specifically take the effect of the higher moments into modeling consideration. This helps to explain and model volatility especially in financial time series. The GARCH models are able to capture financial characteristics such as volatility clustering, heavy tails and asymmetry. In much of the literature available for the GARCH models, the methods of estimating parameters include the MLE,GMM and LSE which have distributional and optimality limitations. In this book, the Optimal Estimating Function(EF) based techniques are derived for the GARCH models. The EF incorporate the Skewness and the Kurtosis moments which are common in financial data. It is shown using simulations that the Estimating Function (EF) method competes reasonably well with the MLE method especially for the non-normal data and hence provides an alternative estimation technique.Financial analysts, Econometricians and Time series scholars will find this book important in teaching and in risk computation. Paperback, Étiquette: LAP LAMBERT Academic Publishing, LAP LAMBERT Academic Publishing, Groupe de produits: Book, Publié: 2012-11-14, Date de sortie: 2012-11-14, Studio: LAP LAMBERT Academic Publishing.
Von Händler/Antiquariat, Blackwell's U.K. *Tracked Service to the USA*.
In contrast to the traditional time series analysis, which focuses on the modeling based on the first two moments, the nonlinear GARCH models specifically take the effect of the higher moments into modeling consideration. This helps to explain and model volatility especially in financial time series. The GARCH models are able to capture financial characteristics such as volatility clustering, heavy tails and asymmetry. In much of the literature available for the GARCH models, the methods of estimating parameters include the MLE,GMM and LSE which have distributional and optimality limitations. In this book, the Optimal Estimating Function(EF) based techniques are derived for the GARCH models. The EF incorporate the Skewness and the Kurtosis moments which are common in financial data. It is shown using simulations that the Estimating Function (EF) method competes reasonably well with the MLE method especially for the non-normal data and hence provides an alternative estimation technique.Financial analysts, Econometricians and Time series scholars will find this book important in teaching and in risk computation. Paperback, Étiquette: LAP LAMBERT Academic Publishing, LAP LAMBERT Academic Publishing, Groupe de produits: Book, Publié: 2012-11-14, Date de sortie: 2012-11-14, Studio: LAP LAMBERT Academic Publishing.
2
Non-Linear Time Series Models
EN PB NWISBN: 9783659302015 bzw. 3659302015, in Englisch, LAP Lambert Academic Publishing, Taschenbuch, neu.
In contrast to the traditional time series analysis, which focuses on the modeling based on the first two moments, the nonlinear GARCH models specifically take the effect of the higher moments into modeling consideration. This helps to explain and model volatility especially in financial time series. The GARCH models are able to capture financial characteristics such as volatility clustering, heavy tails and asymmetry. In much of the literature available for the GARCH models, the methods of estimating parameters include the MLE, GMM and LSE which have distributional and optimality limitations. In this book, the Optimal Estimating Function(EF) based techniques are derived for the GARCH models. The EF incorporate the Skewness and the Kurtosis moments which are common in financial data. It is shown using simulations that the Estimating Function (EF) method competes reasonably well with the MLE method especially for the non-normal data and hence provides an alternative estimation technique.Financial analysts, Econometricians and Time series scholars will find this book important in teaching and in risk computation.
3
Non-Linear Time Series Models: Parametric Estimation Using Estimating Functions (2012)
EN PB NWISBN: 9783659302015 bzw. 3659302015, in Englisch, 120 Seiten, LAP LAMBERT Academic Publishing, Taschenbuch, neu.
Neuf à partir de: £43.49 (8 Offre)
Utilisé à partir de: £73.05 (2 Offre)
Voir la plus 10 Offres à Amazon.co.uk
Lieferung aus: Vereinigtes Königreich Grossbritannien und Nordirland, Usually dispatched within 6-10 business days, frais de port (si livré).
Von Händler/Antiquariat, Blackwell's UK.
In contrast to the traditional time series analysis, which focuses on the modeling based on the firs.... Paperback, Étiquette: LAP LAMBERT Academic Publishing, LAP LAMBERT Academic Publishing, Groupe de produits: Book, Publié: 2012-11-14, Date de sortie: 2012-11-14, Studio: LAP LAMBERT Academic Publishing.
Von Händler/Antiquariat, Blackwell's UK.
In contrast to the traditional time series analysis, which focuses on the modeling based on the firs.... Paperback, Étiquette: LAP LAMBERT Academic Publishing, LAP LAMBERT Academic Publishing, Groupe de produits: Book, Publié: 2012-11-14, Date de sortie: 2012-11-14, Studio: LAP LAMBERT Academic Publishing.
4
Non-Linear Time Series Models: Parametric Estimation Using Estimating Functions (2012)
EN PB USISBN: 9783659302015 bzw. 3659302015, in Englisch, 120 Seiten, LAP LAMBERT Academic Publishing, Taschenbuch, gebraucht.
Neuf à partir de: £43.49 (8 Offre)
Utilisé à partir de: £73.05 (2 Offre)
Voir la plus 10 Offres à Amazon.co.uk
Lieferung aus: Vereinigtes Königreich Grossbritannien und Nordirland, Usually dispatched within 1-2 business days, frais de port (si livré).
Von Händler/Antiquariat, ShineWood.
In contrast to the traditional time series analysis, which focuses on the modeling based on the firs.... Paperback, Étiquette: LAP LAMBERT Academic Publishing, LAP LAMBERT Academic Publishing, Groupe de produits: Book, Publié: 2012-11-14, Date de sortie: 2012-11-14, Studio: LAP LAMBERT Academic Publishing.
Von Händler/Antiquariat, ShineWood.
In contrast to the traditional time series analysis, which focuses on the modeling based on the firs.... Paperback, Étiquette: LAP LAMBERT Academic Publishing, LAP LAMBERT Academic Publishing, Groupe de produits: Book, Publié: 2012-11-14, Date de sortie: 2012-11-14, Studio: LAP LAMBERT Academic Publishing.
5
NEW Non-Linear Time Series Models by Jesse Mwangi Paperback Book (English) Free
EN PB NWISBN: 9783659302015 bzw. 3659302015, in Englisch, Taschenbuch, neu.
Lieferung aus: Vereinigte Staaten von Amerika, Type de livraison: Free, Livraison: Dans le monde entier, Offre de location: 45014 Fairfield,OH,USA, Livraison gratuite.
Von Händler/Antiquariat, grandeagleretail.
Prix fixe.
Von Händler/Antiquariat, grandeagleretail.
Prix fixe.
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