This book provides a comprehensive and systematic approach tounderstanding GARCH time series models and their applicationswhilst presenting the most advanced results concerning the theoryand practical aspects of GARCH. The probability structure ofstandard GARCH models is studied in detail as well as statisticalinference such as identification, estimation and tests. The bookalso provides coverage of several extensions such as asymmetric andmultivariate models and looks at financial applications.
* Provides up-to-date coverage of the current research in theprobability, statistics and econometric theory of GARCHmodels.
* Numerous illustrations and applications to real financialseries are provided.
* Supporting website featuring R codes, Fortran programs and datasets.
* Presents a large collection of problems and exercises.
This authoritative, state-of-the-art reference is ideal forgraduate students, researchers and practitioners in business andfinance seeking to broaden their skills of understanding ofeconometric time series models.