Arch: Selected Readings - Selected Readings

Zusatztext This volume brings together a number of articles which have been important in the development of ARCH models ... The articles cover a wide range of topics and include methodological as well as more applied topics ... the volume does serve a useful purpose in making accessible these contributions which were originally published in a diverse range of journals. I am sure it will become a frequently consulted addition to many a bookshelf. Klappentext 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. Zusammenfassung In the early 1980s, R.F. Engle pioneered the econometric technique of auto-regressive conditional heteroskedasticity (ARCH). This collection of essays explores both applied and theoretical ARCH models. Its introduction traces the development of this field of econometrics.

Product details

• Authors: Engle, R. F. Engle, R.f. Engle, Robert F. Engle, Robert F. (Chair of the Department of Econo Engle, ENGLE R F
• Assisted by: R. F. Engle (Editor), Robert F. Engle (Editor)
• Publisher: Oxford University Press
• Languages: English
• Product format: Paperback / Softback
• Released: 16.11.1995
• EAN: 9780198774327
• ISBN: 978-0-19-877432-7
• No. of pages: 422
• Series: Advanced Texts in Econometrics; Advanced Texts in Econometrics
• Subjects: Social sciences, law, business > Business > Economics; BUSINESS & ECONOMICS / Econometrics, Econometrics, Econometrics and economic statistics