ARCH by R. F. Engle
Look inside with Google Book Preview
ARCH
By R. F. Engle

ARCH

Selected Readings

Edited by See other recent books by R. F. Engle
Format: Paperback

Normal Price: $103.95
Your Price: $93.56 AUD, inc. GST
Shipping: $7.95 per order
You Save: $10.39! (10% off normal price)
Plus...earn $4.68 in Boomerang Bucks
Availability: Available Available to Backorder, No Due Date for Supply



ARCH by R. F. Engle

Book Description

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.

Buy ARCH book by R. F. Engle from Australia's Online Bookstore, Boomerang Books.


Book Details

ISBN: 9780198774327
ISBN-10: 019877432X
Format: Paperback
(236mm x 154mm x 24mm)
Pages: 422
Imprint: Oxford University Press
Publisher: Oxford University Press
Publish Date: 16-Nov-1995
Country of Publication: United Kingdom

Books By Author R. F. Engle

Long Run Economic Relationships by R. F. Engle Long Run Economic Relationships, Paperback (October 1991)

This is a survey of recent developments in the field of cointegration, which links long run components of a pair or of a group of series. The authors present ideas in a non-technical way which will enable economists with training in econometrics to understand and appreciate current research.

» View all books by R. F. Engle

Reviews

» Have you read this book? We'd like to know what you think about it - write a review about ARCH book by R. F. Engle and you'll earn 50c in Boomerang Bucks loyalty dollars (you must be a member - it's free to sign up!)

Write a book review


Boomerang Bucks close

For every $20 you spend on books, you will receive $1 in Boomerang Bucks loyalty dollars. You can use your Boomerang Bucks as a credit towards a future purchase from Boomerang Books. Note that you must be a Member (free to sign up) and that conditions do apply.

Recent books by R. F. Engle close
Long Run Economic Relationships by R. F. Engle
»
BoomerangBooks.com.au close