From a practical point of view, Carol Alexander's "Market Models" might be about as good as it gets.
Patrick Burns
Burns Statistics [EMAIL PROTECTED] +44 (0)20 8525 0696 http://www.burns-stat.com (home of S Poetry and "A Guide for the Unwilling S User")
Wayne Jones wrote:
Hi there fellow R-Users,
Can anyone recommend a good book on the theory and practice of applying
GARCH models.
Also, does any one know of any R related subject material in addition to library(tseries).
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
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