Name: garch-like models with dynamic crash probabilities
SKU: 3487357
Price: 74.56 EUR
Availability: InStock
Author: paul koether
ISBN: 9783639014402

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portada garch-like models with dynamic crash probabilities

garch-like models with dynamic crash probabilities

Type

Physical Book

Publisher

vdm verlag dr. mueller e.k.

Author

paul koether

Pages

172

ISBN

3639014405

ISBN13

9783639014402

Synopsis "garch-like models with dynamic crash probabilities"

we work in the setting of time series of financial returns. our starting point are the garch models, which are very common in practice. we introduce the possibility of having crashes in such garch models. a crash will be modeled by drawing innovations ...