ARCH models for financial applications - Xekalaki, Evdokia (John Wiley & Sons, 2010)
Includes bibliographical references (pages 479-520) and index
ARCH Models for Financial Applications provides background on the theory of ARCH models, with a focus on practical implementation via applications to real data and examples worked with econometrics packages. The interactional exposition of the ARCH theory, and its implementation in practice that the authors adopt, helps readers get a deeper understanding of the models and their use as tools in applied financial contexts. Intended for readers seeking an aptitude in the applications of financial econometric modeling, this book requires only a basic knowledge of econometrics and basic undergradua