ARCH
Subtitle: Selected Readings (Advanced Texts in Econometrics)
Publisher: Oxford University Press, USA
Published: November 30, 1995
Language: eng
Number of pages: 424
ISBN-13: 9780198774327
First sentence: Traditional econometric models assume a constant one-period forecast variance.
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: 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.