ARCH: Selected Readings: Arch Sel Readings Advd Texts I

Paperback | January 1, 1996

EditorRobert F. Engle

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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 tothe 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.

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From the Publisher

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 tothe latest developments. Papers present bot...

From the Jacket

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 b...

R. F. Engle is at University of California, San Diego.
Format:PaperbackDimensions:422 pages, 9.21 × 6.14 × 0.94 inPublished:January 1, 1996Publisher:Oxford University Press

The following ISBNs are associated with this title:

ISBN - 10:019877432X

ISBN - 13:9780198774327

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`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 thesecontributions 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