The Nile Logo
ARCH: Selected Readings, 9780198774327
Paperback
A collection of work which brings together readings on ARCH models, both applied and theoretical, half by R.F. Engle, and half by other econometricians working in the field. It begins with an introduction by the editor which traces the development of the field.

ARCH: Selected Readings

selected readings

By:
Series:

$125.01

  • Paperback

    422 pages

  • Release Date

    16 November 1995

Check Delivery Options

Summary

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 andcorrelation: - what model to use - what tim…

Book Details

ISBN-13:9780198774327
ISBN-10:019877432X
Series:Advanced Texts in Econometrics
Author:Engle
Publisher:Oxford University Press
Imprint:Oxford University Press
Format:Paperback
Number of Pages:422
Release Date:16 November 1995
Weight:616g
Dimensions:236mm x 154mm x 24mm
You Can Find This Book In
What They're Saying

Critics Review

`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

About The Author

Engle

R. F. Engle is at University of California, San Diego.

Returns

This item is eligible for free returns within 30 days of delivery. See our returns policy for further details.