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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...