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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| Format: | Others |
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DigitalCommons@USU
2005
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| Online Access: | https://digitalcommons.usu.edu/etd/7150 https://digitalcommons.usu.edu/cgi/viewcontent.cgi?article=8252&context=etd |