
ARCH: Selected Readings
Selected Readings
Engle(Editor)
Oxford University Press
Published on 16. November 1995
Book
Paperback/Softback
422 pages
978-0-19-877432-7 (ISBN)
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.
- 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.
Reviews / Votes
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 these contributions 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 *More details
Series
Language
English
Place of publication
Oxford
United Kingdom
Target group
Professional and scholarly
Illustrations
line figures, tables
Dimensions
Height: 234 mm
Width: 156 mm
Thickness: 23 mm
Weight
641 gr
ISBN-13
978-0-19-877432-7 (9780198774327)
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Schweitzer Classification