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Books on the topic 'GARCH'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Francq, Christian, and Jean-Michel Zakoïan. GARCH Models. John Wiley & Sons, Ltd, 2010. http://dx.doi.org/10.1002/9780470670057.

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2

Engle, R. F. GARCH gamma. National Bureau of Economic Research, 1995.

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3

Kaiser, Thomas. Volatilitätsprognose mit Faktor-GARCH-Modellen. Deutscher Universitätsverlag, 1997. http://dx.doi.org/10.1007/978-3-322-97762-5.

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4

Shimizu, Kenichi. Bootstrapping Stationary ARMA-GARCH Models. Vieweg+Teubner, 2010. http://dx.doi.org/10.1007/978-3-8348-9778-7.

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5

service), SpringerLink (Online, ed. Bootstrapping Stationary ARMA-GARCH Models. Vieweg+Teubner Verlag / Springer Fachmedien Wiesbaden GmbH, Wiesbaden, 2010.

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6

Zaffaroni, Paolo. Contemporaneous aggregation of GARCH processes. Banca d'Italia, 2002.

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7

Fiszeder, Piotr. Modele klasy Garch w empirycznych badaniach finansowych. Wydawn. Nauk. Uniwersytetu Mikołaja Kopernika, 2009.

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8

Francq, Christian. Modèles GARCH: Structure, inférence statistique et applications financières. Economica, 2009.

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9

Ahlstedt, Monica. Analysis of financial risks in a GARCH framework. Bank of Finland, 1998.

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10

Francq, Christian. GARCH models: Structure, statistical inference, and financial applications. Wiley, 2010.

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11

Francq, Christian. Modèles GARCH: Structure, inférence statistique et applications financières. Economica, 2009.

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12

1946-, Bernard Jean-Thomas, and Bank of Canada, eds. Forecasting commodity prices: GARCH, jumps, and mean reversion. Bank of Canada, 2006.

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13

Jean-Michel, Zakoian, ed. GARCH models: Structure, statistical inference, and financial applications. Wiley, 2010.

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14

Ardia, David. Financial Risk Management with Bayesian Estimation of GARCH Models. Springer Berlin Heidelberg, 2008. http://dx.doi.org/10.1007/978-3-540-78657-3.

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15

Connor, Gregory. A structured GARCH model of daily equity return volatility. LSE Financial Markets Group, 2001.

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16

Soufian, Nasreen. Applying GARCH for examining CAPM and APT across time. Manchester Metropolitan University Business School, 2002.

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17

Soufian, Nasreen. Applying GARCH for examining CAPM and APT across time. Manchester Metropolitan University Business School, 2002.

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18

Soufian, Nasreen. Applying GARCH for examining CAPM and APT across time. Manchester Metropolitan University, Business School, 2002.

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19

Celso, Brunetti, and Board of Governors of the Federal Reserve System (U.S.), eds. Markov switching GARCH models of currency turmoil in Southeast Asia. Federal Reserve Board, 2007.

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20

Engle, R. F. Theoretical and empirical properties of Dynamic Conditional Correlation Multivariate GARCH. National Bureau of Economic Research, 2001.

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21

Omran, M. F. Heteroscedasticity in stock market prices revisited: Unexpected volume versus GARCH effects. University of Stirling, Dept. of Accountancy & Finance, 1995.

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22

Fountas, Stilianos. A GARCH model of inflation and inflation uncertainty with simultaneous feedback. Department of Economics, National University of Ireland, Galway, 2000.

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23

Dunne, Peter G. GARCH-m and the expected risk premium: A selective literature review. Queen's University, 1992.

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24

Hall, Stephen. A multivariate GARCH in mean estimation of the capital asset pricing model. Bank of England, 1988.

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25

Hayes, Simon. Risk and return in the UK stock market: An application of GARCH. typescript, 1992.

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26

Hall, Stephen. A note on the estimation of GARCH-M models using the Kalman filter. Bank of England, Economics Division, 1990.

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27

Fornari, Fabio. Recovering the probability density function of asset prices using GARCH as diffusion approximations. Banca d'Italia, 2001.

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28

Agopyan, Ari. An empirical study of volatility in five european stock markets using garch models. UMIST, 1998.

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29

Pulli, Markku. Pankkien likviditeetti ja lyhyet korot: GARCH-mallin sovellus Suomen aineistolla vuosilta 1987-1989. Suomen Pankki, 1990.

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30

Alwi, Shaliza, and Rafferty Wei Hoong. Commodities Futures and Volatility Prices in Relation to the Application of GARCH Models. SAGE Publications Inc., 2023. http://dx.doi.org/10.4135/9781529628869.

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31

Bauwens, Luc. Handbook of volatility models and their applications. Wiley, 2012.

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32

Bauwens, Luc. Handbook of volatility models and their applications. Wiley, 2012.

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33

Ghatak, Subrata. Risk and supply response in Turkish agriculture: An ARCH and GARCH analysis (1950-1990). University of Leicester, Department of Economics, 1994.

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34

Old, Oliver. Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model. Springer Fachmedien Wiesbaden, 2022. http://dx.doi.org/10.1007/978-3-658-38618-4.

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35

Engle, R. F. Hedging options in a GARCH environment: Testing the term structure of stochastic volatility models. National Bureau of Economic Research, 1994.

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36

Gėndėn, Togoochiǐn. Ulsyg ai︠u︡ulaas khamgaalakh baĭguullagyn azhild garch baĭsan aldaa zavkhralyg shalgasan duṅgiĭn tukhaĭ nuut︠s︡lagdsan iltgėl. ["Urlakh ėrdėm" khėvlėliĭn gazar], 2002.

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37

Copeland, Laurence S. Daily and monthly seasonality in the mean and variance of the exchange rate: Garch estimates. University of Stirling, Dept. of Accountancy and Finance, 1993.

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38

Guo, Hui. Investigating the intertemporal risk-return relation in international stock markets with the component garch model. Federal Reserve Bank of St. Louis, 2006.

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39

Priyanka, Singh, and Indian Institute of Management, Ahmedabad., eds. Volatility modeling, seasonality, and risk-return relationship in GARCH-in-mean framework: The case of Indian stock and commodity markets. Indian Institute of Management, Ahmedabad, 2008.

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40

Shi, Feng. Learn About the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) Model in R With Data From the DJIA 30 Stock Time Series (2018). SAGE Publications Ltd., 2019. http://dx.doi.org/10.4135/9781526487650.

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41

Gatch, Lee. Lee Gatch. Phillips Collection, 1988.

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42

Bristow, Gwen. Celia Garth. Chicago Review Press, 2009.

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43

Gorman, Rody. Bealach garbh. Coiscéim, 1999.

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44

Marisa, Gutiérrez, ed. Garci entrevistas. Notorious Ediciones, 2010.

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45

Verma, Vrindavan Lal. Garh Kundar. Diamond Pocket Books, 1992.

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46

Francq, Christian, and Jean-Michel Zakoian. Garch Models. Wiley & Sons, Incorporated, John, 2010.

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47

Chibumba, Aubrey Muyeke. The orthogonal GARCH methodology. 2001.

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48

Götsch, Irina. Multivariates Garch Modell -Bekk. GRIN Verlag GmbH, 2013.

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49

Optionsbepreisung für Garch-Prozesse. GRIN Verlag GmbH, 2010.

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50

Christian, Francq Prof, and Zakoian Prof Jean-Micel. GARCH Models: Structure, Statistical Inference and Financial Applications. Wiley & Sons, Limited, John, 2010.

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