ARCH : selected readings
tarafından
Engle, R. F., (Robert F.), editor.
Başlık
:
ARCH : selected readings
Yazar
:
Engle, R. F., (Robert F.), editor.
ISBN
:
9780198774327
9780198774310
Fiziksel Tanımlama
:
xviii, 403 pages : illustrations ; 24 cm.
Seri
:
Advanced texts in econometrics
İçerik
:
Introduction / Robert F. Engle -- 1. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / Robert F. Engle -- 2. Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M Model / Robert F. Engle, David M. Lilien and Russell P. Robins -- 3. Generalized Autoregressive Conditional Heteroskedasticity / Tim Bollerslev -- 4. Expected Stock Returns and Volatility / Kenneth R. French, G. William Schwert and Robert F. Stambaugh -- 5. Conditional Heteroskedasticity in Asset Returns: A New Approach / Daniel B. Nelson -- 6. Semiparametric ARCH Models / Robert F. Engle and Gloria Gonzalez-Rivera -- 7. Measuring and Testing the Impact of News on Volatility / Robert F. Engle and Victor K. Ng -- 8. Stationarity and Persistence in the GARCH(1,1) Model / Daniel B. Nelson -- 9. ARCH Models as Diffusion Approximations / Daniel B. Nelson -- 10. Temporal Aggregation of GARCH Processes / Feike C. Drost and Theo E. Nijman.
Özet
:
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.
Konu Başlığı
:
Econometric models.
Ekonometrik modeller.
Heteroscedasticity.
Varyans.
Yazar Ek Girişi
:
Engle, R. F., (Robert F.),
| Library | Materyal Türü | Demirbaş | Yer Numarası | Durumu / Lokasyon / İade Tarihi |
|---|
| Ekonomi Kütüphanesi | Kitap | EKOBKN0010017 | 330.015195 ARC 1995 | Ödüllü Yayınlar |