ARCH: selected readings
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...
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Oxford u.a.
Oxford Univ. Press
1995
|
| Schriftenreihe: | Advanced texts in econometrics
|
| Schlagworte: | |
| Zusammenfassung: | 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: which model to use, what time intervals to employ, how to model multivariate systems, how to apply the models to price and trade options, and how to model volatility spillovers across markets and within the day. |
| Beschreibung: | XVIII, 403 S. graph. Darst. |
| ISBN: | 0198774311 019877432X |
Internformat
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| 520 | 3 | |a 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: which model to use, what time intervals to employ, how to model multivariate systems, how to apply the models to price and trade options, and how to model volatility spillovers across markets and within the day. | |
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| id | DE-604.BV010489854 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:53:21Z |
| institution | BVB |
| isbn | 0198774311 019877432X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-006989238 |
| oclc_num | 832666595 |
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| physical | XVIII, 403 S. graph. Darst. |
| publishDate | 1995 |
| publishDateSearch | 1995 |
| publishDateSort | 1995 |
| publisher | Oxford Univ. Press |
| record_format | marc |
| series2 | Advanced texts in econometrics |
| spelling | ARCH selected readings ed. by Robert F. Engle Oxford u.a. Oxford Univ. Press 1995 XVIII, 403 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Advanced texts in econometrics 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: which model to use, what time intervals to employ, how to model multivariate systems, how to apply the models to price and trade options, and how to model volatility spillovers across markets and within the day. ARCH, Modèles Econometrische modellen gtt Estatistica aplicada a economia larpcal Modèles économétriques Regressiemodellen gtt Ökonometrisches Modell Econometric models Heteroscedasticity ARCH-Prozess (DE-588)4346437-3 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content ARCH-Prozess (DE-588)4346437-3 s DE-604 Engle, Robert F. 1942- Sonstige (DE-588)128388528 oth |
| spellingShingle | ARCH selected readings ARCH, Modèles Econometrische modellen gtt Estatistica aplicada a economia larpcal Modèles économétriques Regressiemodellen gtt Ökonometrisches Modell Econometric models Heteroscedasticity ARCH-Prozess (DE-588)4346437-3 gnd |
| subject_GND | (DE-588)4346437-3 (DE-588)4143413-4 |
| title | ARCH selected readings |
| title_auth | ARCH selected readings |
| title_exact_search | ARCH selected readings |
| title_full | ARCH selected readings ed. by Robert F. Engle |
| title_fullStr | ARCH selected readings ed. by Robert F. Engle |
| title_full_unstemmed | ARCH selected readings ed. by Robert F. Engle |
| title_short | ARCH |
| title_sort | arch selected readings |
| title_sub | selected readings |
| topic | ARCH, Modèles Econometrische modellen gtt Estatistica aplicada a economia larpcal Modèles économétriques Regressiemodellen gtt Ökonometrisches Modell Econometric models Heteroscedasticity ARCH-Prozess (DE-588)4346437-3 gnd |
| topic_facet | ARCH, Modèles Econometrische modellen Estatistica aplicada a economia Modèles économétriques Regressiemodellen Ökonometrisches Modell Econometric models Heteroscedasticity ARCH-Prozess Aufsatzsammlung |
| work_keys_str_mv | AT englerobertf archselectedreadings |