Articoli correlati a ARCH: Selected Readings (Advanced Texts in Econometrics)
Sinossi
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:
- 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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Recensione
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. (The Economic Journal)
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ARCH: Selected Readings -- Advanced Texts in Econometrics
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New York: Oxford University Press, 1995
ISBN 10: 019877432X
ISBN 13: 9780198774327
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ARCH: Selected Readings (Advanced Texts in Econometrics)
Editore:
Oxford University Press, 1995
ISBN 10: 019877432X
ISBN 13: 9780198774327
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ARCH: Selected Readings (Advanced Texts in Econometrics)
Editore:
Oxford University Press, 1995
ISBN 10: 019877432X
ISBN 13: 9780198774327
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Da: HPB-Red, Dallas, TX, U.S.A.
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Paperback. Condizione: Acceptable. Connecting readers with great books since 1972. Used textbooks may not include companion materials such as access codes, etc. May have condition issues including wear and notes/highlighting. We ship orders daily and Customer Service is our top priority! Codice articolo S_419709409
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Arch: Selected Readings
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Oxford University Press, USA, 1995
ISBN 10: 019877432X
ISBN 13: 9780198774327
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ARCH: Selected Readings
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Oxford; Oxford University Press; 1995, 1995
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ISBN 13: 9780198774327
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ARCH: Selected Readings (Advanced Texts in Econometrics)
Editore:
Oxford University Press, 1995
ISBN 10: 019877432X
ISBN 13: 9780198774327
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ARCH: Selected Readings (Advanced Texts in Econometrics)
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Oxford University Press, 1995
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ISBN 13: 9780198774327
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ARCH: Selected Readings (Advanced Texts in Econometrics)
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ISBN 13: 9780198774327
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ARCH: Selected Readings (Advanced Texts in Econometrics)
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Oxford University Press, USA, 1995
ISBN 10: 019877432X
ISBN 13: 9780198774327
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ARCH: Selected Readings (eng)
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