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Dokumenttyp:
Bachelorarbeit 
Autor(en):
Granzer, Marlit 
Titel:
Financial Time Series: ARMA and GARCH models 
Abstract:
In this bachelor thesis, methods to model financial time series, like the DAX index, are introduced. In the beginning, basic concepts of financial time series, like the stylized facts and white noise or the martingale difference are defined. Following, there is the introduction to the ARMA process, which stands for ""autoregressive moving average"". ""Autoregressive"" meaning that the observation X(t) depends on the previous observations X(t-i) and ""moving average"" implying that the mean is ca...    »
 
Betreuer:
Dr. Min 
Gutachter:
Prof. Dr. Scherer 
Jahr:
2010 
Sprache:
en 
Hochschule / Universität:
Technische Universität München 
Fakultät:
Fakultät für Mathematik