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Department of Mathematical Sciences

Seminar Archives

On this page you can find information about seminars in this and previous academic years, where available on the database.

Stats4Grads: GARCH Models: Basic Facts, Estimation and Goodness-of-Fit

Presented by Simos Meintanis,

2 June 2010 10:30 in CM 221

Our starting point will be motivation for GARCH models from the point of view of empirical finance. Then some basic theoretical results are presented, and standard methods for estimation of parameters are discussed. Finally some tests for symmetry and specification for the error distribution will be introduced.

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See the Stats4Grads page for more details about this series.