Arch Models for Financial Applications - Rilegato

Xekalaki, Evdokia; Degiannakis, Stavros

Rilegato

ISBN 10: 047006630X ISBN 13: 9780470066300

Casa editrice: John Wiley & Sons Inc, 2010

Riassunto

Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection

Presents a comprehensive overview of both the theory and the practical applications of ARCH, an increasingly popular financial modelling technique.

Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation.

Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented.

Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models.

Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples.

This book is aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.

Su questo libro

Recensione:

"Numerous articles on the Autoregressive ConditionalHeteroskedastic (ARCH) process, an increasingly popular financialmodeling technique, exist in various international journals. NowXekalaki and Degiannakis (both statistics, Athens U. of Economicsand Business, Greece) provide a thorough treatment of the ARCHtheory and its practical applications, in a textbook forpostgraduate and final–year undergraduate students which couldserve as reference work for academics and financial marketprofessionals." ( Book News Inc, November 2010)

L'autore:

Evdokia Xekalaki, Athens University of Economics and Business, Greece
Stavros Degiannakis, Athens University of Economics and Business, Greece

Su questa edizione

• Editore: John Wiley & Sons Inc
• Data di pubblicazione: 2010
• ISBN 10: 047006630X
• ISBN 13: 9780470066300
• Rilegatura: Copertina rigida
• Numero edizione: 1
• Numero di pagine: 538