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Impressum
13 Time Series with Stochastic Volatility
13.1 ARCH and GARCH Models
13.2 Extensions of the GARCH Model
13.2.1 Exponential GARCH
13.2.2 Threshold ARCH Models
13.2.3 Risk and Returns
13.2.4 Estimation Results for the DAX Returns
13.3 Multivariate GARCH models
13.4 Recommended Literature