ARCH: Selected Readings (Advanced Texts in Econometrics) - Couverture souple

Livre 10 sur 26: Advanced Texts in Econometrics

Engle, Robert F.

 
9780198774327: ARCH: Selected Readings (Advanced Texts in Econometrics)
Couverture souple
ISBN 10 : 019877432X ISBN 13 : 9780198774327
Editeur : Oxford University Press, 1999

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

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)

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Oxford University Press
Date d'édition
1999
Langue
anglais
ISBN 10 
019877432X
ISBN 13 
9780198774327
Reliure
Broché
Nombre de pages
430
Coordonnées du fabricant
non disponible
Personne responsable
Ufficio Anagrafiche Messaggerie
ufficio.anagrafiche@meli.it

Via Verdi, 8
Assago Milano
20090
Italie

Autres éditions populaires du même titre

9780198774310: Arch: Selected Readings

Edition présentée

ISBN 10 :  0198774311 ISBN 13 :  9780198774310
Editeur : Oxford University Press, 1995
Couverture rigide