Articles liés à Arch: Selected Readings
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 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. This book is intended for applied and theoretical econometricians; graduate students of econometrics.
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Présentation de l'éditeur
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.
Revue de presse
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.
Edité par
Oxford, etc.: Oxford University Press, 1995., 1995
ISBN 10 : 0198774311
ISBN 13 : 9780198774310
Ancien ou d'occasion
Couverture rigide
Edition originale
Vendeur : Ted Kottler, Bookseller, Redondo Beach, CA, Etats-Unis
Évaluation du vendeur 3 sur 5 étoiles
Hardcover. Etat : Near Fine. Etat de la jaquette : Near Fine. 1st Edition. First Edition. xviii, 403 pp; figs.; tables. Original cloth. Near Fine, in near fine dust jacket. Papers by Engle, et al. Advanced Texts in Economics. ARCH = Auto-Regressive Conditional Heteroskedasticity. Robert F. Engle: Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel, 2003, 'for methods of analyzing economic time series with time-varying volatility (ARCH)'. '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' (Oxford University Press Web site). N° de réf. du vendeur 12031
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