Screen LibraryARCH models for financial applications
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...
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| Literature type: | Electronic eBook |
| Language: | English |
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| Online Access: |
http://onlinelibrary.wiley.com/book/10.1002/9780470688014 |
| Summary: |
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 undergrad |
| Carrier Form: | 1 online resource (1 electronic resource (xx, 538 p.)) |
| Bibliography: | Includes bibliographical references (p. 479-520) and index. |
| ISBN: |
9780470688014 0470688017 9780470688021 (electronic bk.) 0470688025 (electronic bk.) |
| Index Number: | HG106 |
| CLC: | F224.7 |
| Contents: | ARCH Models for Financial Applications; Contents; Preface; Notation; 1 What is an ARCH process?; 2 ARCH volatility specifications; 3 Fractionally integrated ARCH models; 4 Volatility forecasting: an empirical example using EViews 6; 5 Other distributional assumptions; 6 Volatility forecasting: an empirical example using G@RCH Ox; 7 Intraday realized volatility models; 8 Applications in value-at-risk, expected shortfall and options pricing; 9 Implied volatility indices and ARCH models; 10 ARCH model evaluation and selection; 11 Multivariate ARCH models; References; Author Index; Subject Index |