Call Boomerang Books 1300 36 33 32

Description - ARCH: Selected Readings by Robert F. Engle

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: Selected Readings by Robert F. Engle from Australia's Online Independent 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

Book Reviews - ARCH: Selected Readings by Robert F. Engle

» Have you read this book? We'd like to know what you think about it - write a review about ARCH: Selected Readings book by Robert F. Engle and you'll earn 50c in Boomerang Bucks loyalty dollars (you must be a Boomerang Books Account Holder - it's free to sign up and there are great benefits!)

Write Review


Books By Robert F. Engle

Empirical Asset Pricing by Robert F. Engle
Hardback, August 2013
$161.06
Cointegration, Causality, and Forecasting by Robert F. Engle
Hardback, October 1999
$277.16