> > Hi there fellow R-Users, > > > > Can anyone recommend a good book on the theory and practice > > of applying > > GARCH models. > Hello Wayne, * Campbell, John, Lo, Andrew W., MacKinlay, A. Craig, The Econometrics of Financial 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 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. HTH, Bernhard > > Regards > > Wayne > > Dr Wayne R. Jones > Senior Statistician / Research Analyst > KSS Limited > St James's Buildings > 79 Oxford Street > Manchester M1 6SS > Tel: +44(0)161 609 4084 > Mob: +44(0)7810 523 713 > > > > > KSS Ltd > Seventh Floor St James's Buildings 79 Oxford Street > Manchester M1 6SS England > Company Registration Number 2800886 > Tel: +44 (0) 161 228 0040 Fax: +44 (0) 161 236 6305 > mailto:[EMAIL PROTECTED] http://www.kssg.com > > > The information in this Internet email is confidential and > m...{{dropped}} > > ______________________________________________ > [EMAIL PROTECTED] mailing list > https://www.stat.math.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html -------------------------------------------------------------------------------- The information contained herein is confidential and is inte...{{dropped}} ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
