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ARCH: Selected Readings (Advanced Texts in Econometrics) From Oxford University Press
Download Ebook ARCH: Selected Readings (Advanced Texts in Econometrics) From Oxford University Press
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- Sales Rank: #4578606 in Books
- Published on: 1995-12-28
- Original language: English
- Number of items: 1
- Dimensions: 6.25" h x .98" w x 9.19" l, 1.40 pounds
- Binding: Paperback
- 424 pages
Review
`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
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 the Author
R. F. Engle is at University of California, San Diego.
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