ARCH: Selected Readings (Advanced Texts in Econometrics) - Softcover

 
9780198774327: ARCH: Selected Readings (Advanced Texts in Econometrics)
Softcover
ISBN 10: 019877432X ISBN 13: 9780198774327
Publisher: Oxford University Press, 1995

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 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.

About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

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About the Author

R. F. Engle is at University of California, San Diego.

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.

Publisher
Oxford University Press
Publication date
1995
Language
English
ISBN 10 
019877432X
ISBN 13 
9780198774327
Binding
Paperback
Edition number
1
Number of pages
422
Editor
Engle Robert F.

Other Popular Editions of the Same Title

9780198774310: ARCH: Selected Readings (Advanced Texts in Econometrics)

Featured Edition

ISBN 10:  0198774311 ISBN 13:  9780198774310
Publisher: Oxford University Press, 1995
Hardcover