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 amount of literature. This collection brings together readings on ARCH models, both applied and theoretical, half by Engle himself and half by other econometricians working in the field. It begins with an introduction by the editor which traces the development of the field.
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About the Author
R. F. Engle, Chair of the Department of Economics, University of California, San Diego.
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Search results for ARCH: Selected Readings (Advanced Texts in Econometrics)
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ARCH. Selected Readings.
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Oxford, etc.: Oxford University Press, 1995., 1995
ISBN 10: 0198774311
ISBN 13: 9780198774310
Used
Hardcover
First Edition
Seller: Ted Kottler, Bookseller, Redondo Beach, CA, U.S.A.
Seller rating 4 out of 5 stars
Hardcover. Condition: Near Fine. Dust Jacket Condition: Near Fine. 1st Edition. First Edition. xviii, 403 pp; figs.; tables. Original cloth. Near Fine, in near fine dust jacket. Papers by Engle, et al. Advanced Texts in Economics. ARCH = Auto-Regressive Conditional Heteroskedasticity. Robert F. Engle: Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel, 2003, 'for methods of analyzing economic time series with time-varying volatility (ARCH)'. '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 readings on ARCH models, both applied and theoretical, half by Engle himself and half by other econometricians working in the field. It begins with an introduction by the editor which traces the development of the field' (Oxford University Press Web site). Seller Inventory # 12031