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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…
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Editions
3 editions- Other · English · 1995Oxford University Press · 9781280906596
- Other · English · 1995Oxford University Press, USA · 424 pages · 9780198774310
- Other · English · 1995Oxford University Press · 403 pages · 9780198774327
Econometric modelsHeteroscedasticity