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