> > Hi there fellow R-Users,
> >
> > Can anyone recommend a good book on the theory and practice
> > of applying
> > GARCH models.
>
Hello Wayne,
* Campbell, John, Lo, Andrew W., MacKinlay, A. Craig, The
Econometrics of Financial Markets, 1996, Princeton, NJ:
Princeton University Press.
http://pup.princeton.edu/titles/5904.html
* Enders, Walter, Applied Econometric Time Series, 2. Edition
- August 2003, New York, NY: John Wiley and Sons.
http://www.wiley.com/WileyCDA/WileyTitle/productCd-0471230650,descCd-tableOf
Contents.html
and
* Hamilton, James, Time Series Analysis, 1994, New Jersey: Princeton
University Press.
http://pup.princeton.edu/TOCs/c5386.html
springs to my mind. Campbell et al. as well as Hamilton cover GARCh models
from a more theoritical/methodological point of view, whereas the book by
Enders is more orientied to GARCh applications. All given sources are not
solely dealing with heteroskedastic models but do expose them in separate
chapters.
>
> Also, does any one know of any R related subject material in
> addition to
> library(tseries).
well, packages/functions for ML-estimation.
HTH,
Bernhard
>
> Regards
>
> Wayne
>
> Dr Wayne R. Jones
> Senior Statistician / Research Analyst
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>
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