ARCH: Selected Readings (Paperback)
Language: English
Published by Oxford University Press, Oxford, 1995
- Softcover
- New
Seller: CitiRetail, Stevenage, United KingdomCitiRetail
AbeBooks seller since June 29, 2022
Condition: New
£ 80.99
Quantity: 1 available
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Paperback. 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 andcorrelation:- 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 dayFor 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 rapidlyexpanding field of research. A collection of work which brings together readings on ARCH models, both applied and theoretical, half by R.F. Engle, and half by other econometricians working in the field. It begins with an introduction by the editor which traces the development of the field. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.…
Seller Inventory # 9780198774327
- Title
- ARCH: Selected Readings (Paperback)
- Author
- Engle
- Publisher
- Oxford University Press, Oxford
- Publication year
- 1995
- Condition
- new
- Binding
- Paperback
- Language
- English
- ISBN 10
- 019877432X
- ISBN 13
- 9780198774327
- Series
- Book 10 of 26: Advanced Texts in Econometrics
- 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.
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CitiRetail
Stevenage, United Kingdom
AbeBooks seller since June 29, 2022
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