Estimation, Testing, and Monitoring of Generalized Autoregressive Conditionally Heteroskedastic Time Series

We study in this dissertation Generalized Autoregressive Conditionally Heteroskedastic (GARCH) time series. The research focuses on squared GARCH sequences. Our main results are as follows: 1. We compare three methods of constructing confidence intervals for sample autocorrelations of squared return...

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Bibliographic Details
Main Author: Zhang, Aonan
Format: Others
Published: DigitalCommons@USU 2005
Subjects:
Online Access:https://digitalcommons.usu.edu/etd/7150
https://digitalcommons.usu.edu/cgi/viewcontent.cgi?article=8252&context=etd