Items related to ARCH: Selected Readings (Advanced Texts in Econometrics)
ARCH: Selected Readings (Advanced Texts in Econometrics) - Softcover
Book 10 of 26: Advanced Texts in Econometrics
Synopsis
In the early 1980s, R.F. Engle pioneered the econometric technique of Auto-Regressive Conditional Heteroskedasticity (ARCH), which has subsequently generated a very considerable literature. This collection brings together the leading papers which have shaped ARCH research from its inception to the latest developments. Papers present both theory and financial market analysis, and discuss the key issues in the use of ARCH models to study volatility and correlation:
- what model to use
- what time intervals to employ - how to model multivariate systems
- how to apply the models to price and trade options
- how to model volatility spillovers across markets and within the day
For each of these issues, the selection of a number of papers by different authors allows a variety of viewpoints to emerge. Many applications to financial markets are included, and a new introduction by the editor connects the papers to trace the development of the field. the result is a timely, useful book which will bring graduate students, faculty, and practitioners up to date on this rapidly expanding field of research.
"synopsis" may belong to another edition of this title.
From the Back Cover
In the early 1980s, R. F. Engle pioneered the econometric technique of Auto-Regressive Conditional Heteroskedasticity (ARCH), which has subsequently generated a very considerable literature. This collection brings together the leading papers which have shaped ARCH research from its inception to the latest developments. Papers present both theory and financial market analysis, and discuss the key issues in the use of ARCH models to study volatility and correlation: which model to use, what time intervals to employ, how to model multivariate systems, how to apply the models to price and trade options, and how to model volatility spillovers across markets and within the day.
"About this title" may belong to another edition of this title.
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ARCH: Selected Readings (Advanced Texts in Econometrics)
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Oxford University Press, 1995
ISBN 10: 019877432X
ISBN 13: 9780198774327
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ARCH: Selected Readings (Advanced Texts in Econometrics)
Published by
Oxford University Press, 1995
ISBN 10: 019877432X
ISBN 13: 9780198774327
Used
Paperback
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Paperback. Condition: Good. Connecting readers with great books since 1972! Used textbooks may not include companion materials such as access codes, etc. May have some wear or writing/highlighting. We ship orders daily and Customer Service is our top priority! Seller Inventory # S_363186437
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ARCH: Selected Readings (Advanced Texts in Econometrics)
Published by
Oxford University Press, 1995
ISBN 10: 019877432X
ISBN 13: 9780198774327
Used
Paperback
Seller: HPB-Red, Dallas, TX, U.S.A.
Seller rating 5 out of 5 stars
Paperback. Condition: Acceptable. Connecting readers with great books since 1972. Used textbooks may not include companion materials such as access codes, etc. May have condition issues including wear and notes/highlighting. We ship orders daily and Customer Service is our top priority! Seller Inventory # S_419709409
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ARCH: Selected Readings (Advanced Texts in Econometrics)
Published by
Oxford University Press, 1995
ISBN 10: 019877432X
ISBN 13: 9780198774327
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Arch : Selected Readings
Published by
Oxford University Press, 1995
ISBN 10: 019877432X
ISBN 13: 9780198774327
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