ARCH models and financial applications
By: Christian Gouriéroux.
Series: Springer series in statistics
Publisher: Springer
Published: 1997
Place of publication: New York
Language: eng
Number of pages: 228
Subjects: Finance -- Mathematical models; Autoregression (Statistics)
Description: ARCH models provide an appropriate framework for studying financial and monetary problems. This book surveys recent work with ARCH models from the perspective of statistical theory, financial models, and applications. Translated from the French edition, new sections on stochastic volatility and time deformation have been added. The book will be suitable for readers with a background in econometrics and ARMA modeling.
Notes: Includes bibliographical references (p. [207]-226) and index.