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 ...
Read More
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.
Read Less
Add this copy of Arch: Selected Readings--Advanced Texts in Econometrics to cart. $16.60, very good condition, Sold by Silicon Valley Fine Books rated 5.0 out of 5 stars, ships from Sunnyvale, CA, UNITED STATES, published 1995 by Oxford University Press.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
Very Good. 403 pages. About very good, a clean copy with a little corner & edge wear. Prompt, professional shipping, with free tracking on U.S. orders!
Add this copy of Arch: Selected Readings to cart. $20.93, like new condition, Sold by ThriftBooks-Baltimore rated 5.0 out of 5 stars, ships from Halethorpe, MD, UNITED STATES, published 1995 by Oxford University Press, USA.
Add this copy of Arch: Selected Readings to cart. $20.93, good condition, Sold by ThriftBooks-Atlanta rated 5.0 out of 5 stars, ships from Austell, GA, UNITED STATES, published 1995 by Oxford University Press, USA.
Add this copy of Arch: Selected Readings (Advanced Texts in Econometrics to cart. $20.95, good condition, Sold by HPB-Red rated 5.0 out of 5 stars, ships from Dallas, TX, UNITED STATES, published 1995 by Oxford University Press.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
Good. Connecting readers with great books since 1972! Used textbooks may not include companion materials such as access codes, etc. May have some wear or writing/highlighting. We ship orders daily and Customer Service is our top priority!
Add this copy of Arch: Selected Readings (Advanced Texts in Econometrics to cart. $20.95, fair condition, Sold by HPB-Red rated 5.0 out of 5 stars, ships from Dallas, TX, UNITED STATES, published 1995 by Oxford University Press.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
Fair. Connecting readers with great books since 1972. Used textbooks may not include companion materials such as access codes, etc. May have condition issues including wear and notes/highlighting. We ship orders daily and Customer Service is our top priority!
Add this copy of Arch: Selected Readings (Advanced Texts in Econometrics to cart. $50.00, like new condition, Sold by My Dead Aunt's Books rated 5.0 out of 5 stars, ships from Hyattsville, MD, UNITED STATES, published 1995 by Oxford University Press.
Add this copy of Arch: Selected Readings (Advanced Texts in Econometrics to cart. $55.29, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Santa Clarita, CA, UNITED STATES, published 1995 by Oxford University Press.
Add this copy of Arch: Selected Readings to cart. $72.49, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 1995 by Oxford University Press, USA.
Add this copy of Arch: Selected Readings (Advanced Texts in Econometrics to cart. $77.37, new condition, Sold by Just one more Chapter rated 3.0 out of 5 stars, ships from Miramar, FL, UNITED STATES, published 1995 by Oxford University Press.
