Edited by R. F. Engle
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ARCH by R. F. Engle
Book DescriptionIn 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.
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Book DetailsISBN: 9780198774327
(236mm x 154mm x 24mm)
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, Paperback (October 1991)» View all books by R. F. Engle
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.
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