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Arch: Selected Readings
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Arch: Selected Readings Paperback - 1995

by Robert F. Engle (Editor)


First line

Traditional econometric models assume a constant one-period forecast variance.

From the rear 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.

Details

  • Title Arch: Selected Readings
  • Author Robert F. Engle (Editor)
  • Binding Paperback
  • Pages 422
  • Volumes 1
  • Language ENG
  • Publisher Oxford University Press, USA, New York
  • Date 1995-12-28
  • Illustrated Yes
  • Features Bibliography, Illustrated, Index
  • ISBN 9780198774327 / 019877432X
  • Weight 1.4 lbs (0.64 kg)
  • Dimensions 9.21 x 6.05 x 1.06 in (23.39 x 15.37 x 2.69 cm)
  • Library of Congress subjects Econometric models, Heteroscedasticity
  • Library of Congress Catalog Number 95012837
  • Dewey Decimal Code 330.015
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ARCH: Selected Readings (Advanced Texts in Econometrics)
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