Matches in Harvard for { <http://id.lib.harvard.edu/aleph/005851368/catalog> ?p ?o. }
Showing items 1 to 25 of
25
with 100 items per page.
- catalog abstract "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.".
- catalog contributor b8220412.
- catalog created "1995.".
- catalog date "1995".
- catalog date "1995.".
- catalog dateCopyrighted "1995.".
- catalog 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.".
- catalog description "Includes bibliographical references and indexes.".
- catalog description "Introduction / Robert F. Engle -- 1. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / Robert F. Engle -- 2. Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M Model / Robert F. Engle, David M. Lilien and Russell P. Robins -- 3. Generalized Autoregressive Conditional Heteroskedasticity / Tim Bollerslev -- 4. Expected Stock Returns and Volatility / Kenneth R. French, G. William Schwert and Robert F. Stambaugh -- 5. Conditional Heteroskedasticity in Asset Returns: A New Approach / Daniel B. Nelson -- 6. Semiparametric ARCH Models / Robert F. Engle and Gloria Gonzalez-Rivera -- 7. Measuring and Testing the Impact of News on Volatility / Robert F. Engle and Victor K. Ng -- 8. Stationarity and Persistence in the GARCH(1,1) Model / Daniel B. Nelson -- 9. ARCH Models as Diffusion Approximations / Daniel B. Nelson -- 10. Temporal Aggregation of GARCH Processes / Feike C. Drost and Theo E. Nijman.".
- catalog extent "xviii, 403 p. :".
- catalog identifier "0198774311 (pbk.)".
- catalog identifier "019877432X".
- catalog isPartOf "Advanced texts in econometrics".
- catalog issued "1995".
- catalog issued "1995.".
- catalog language "eng".
- catalog publisher "Oxford ; New York : Oxford University Press,".
- catalog subject "330/.01/5195 20".
- catalog subject "Econometric models.".
- catalog subject "HB141 .A7610 1995".
- catalog subject "Heteroscedasticity.".
- catalog tableOfContents "Introduction / Robert F. Engle -- 1. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / Robert F. Engle -- 2. Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M Model / Robert F. Engle, David M. Lilien and Russell P. Robins -- 3. Generalized Autoregressive Conditional Heteroskedasticity / Tim Bollerslev -- 4. Expected Stock Returns and Volatility / Kenneth R. French, G. William Schwert and Robert F. Stambaugh -- 5. Conditional Heteroskedasticity in Asset Returns: A New Approach / Daniel B. Nelson -- 6. Semiparametric ARCH Models / Robert F. Engle and Gloria Gonzalez-Rivera -- 7. Measuring and Testing the Impact of News on Volatility / Robert F. Engle and Victor K. Ng -- 8. Stationarity and Persistence in the GARCH(1,1) Model / Daniel B. Nelson -- 9. ARCH Models as Diffusion Approximations / Daniel B. Nelson -- 10. Temporal Aggregation of GARCH Processes / Feike C. Drost and Theo E. Nijman.".
- catalog title "Arch : selected readings / edited by Robert F. Engle.".
- catalog type "Aufsatzsammlung. swd".
- catalog type "text".