ARCH: Selected Readings (Advanced Texts in Econometrics)

Engle, Robert F. [Editor]

ISBN 10: 019877432X / ISBN 13: 9780198774327

Published by Oxford University Press, 1995

About this Item

Pristine copy.

Seller Inventory # 65365J

Bibliographic Details

• Title: ARCH: Selected Readings (Advanced Texts in Econometrics)
• Publisher: Oxford University Press
• Publication Date: 1995
• Language: English
• ISBN 10: 019877432X
• ISBN 13: 9780198774327
• Binding: paperback
• Condition: As New
• Weight: 22 ounces
• Seller catalogs:
  • MATHEMATICS

About this title

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.

About the Author

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