ARCH Models for Financial Applications
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Beschreibung
Autoregressive Conditional Heteroskedastic (ARCH) processes areused in finance to model asset price volatility over time. Thisbook introduces both the theory and applications of ARCH models andprovides the basic theoretical and empirical background, beforeproceeding to more advanced issues and applications. The Authorsprovide coverage of the recent developments in ARCH modelling whichcan be implemented using econometric software, model construction,fitting and forecasting and model evaluation and selection.
Key Features:
* Presents a comprehensive overview of both the theory and thepractical applications of ARCH, an increasingly popular financialmodelling technique.
* Assumes no prior knowledge of ARCH models; the basics such asmodel construction are introduced, before proceeding to morecomplex applications such as value-at-risk, option pricing andmodel evaluation.
* Uses empirical examples to demonstrate how the recentdevelopments in ARCH can be implemented.
* Provides step-by-step instructive examples, using econometricsoftware, such as Econometric Views and the G@RCH module for the Oxsoftware package, used in Estimating and Forecasting ARCHModels.
* Accompanied by a CD-ROM containing links to the software aswell as the datasets used in the examples.
Aimed at readers wishing to gain an aptitude in the applicationsof financial econometric modelling with a focus on practicalimplementation, via applications to real data and via examplesworked with econometrics packages.
Autor*in
Evdokia Xekalaki
Themen in »ARCH Models for Financial Applications«
Finanz- u. Wirtschaftsstatistik Finanztechnik Probability & Mathematical Statistics Statistics Statistics for Finance, Business & Economics Statistik Wahrscheinlichkeitsrechnung u. mathematische Statistik Wirtschaftsstatistik
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"Numerous articles on the Autoregressive ConditionalHeteroskedastic (ARCH) process, an increasingly popular financialmodeling technique, exist in various international journals. NowXekalaki and Degiannakis (both statistics, Athens U. of Economicsand Business, Greece) provide a thorough treatment of the ARCHtheory and its practical applications, in a textbook forpostgraduate and final-year undergraduate students which couldserve as reference work for academics and financial marketprofessionals." (Book News Inc, November 2010)
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