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2004 Apr 02
0
FW: GARCH
...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.
HT...