.png){kind=logo}
Stock image for illustration purposes only - book cover, edition or condition may vary.
ARCH Models for Financial Applications
Evdokia Xekalaki
€ 116.14
FREE Delivery in Ireland
Description for ARCH Models for Financial Applications
Hardcover. 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. Num Pages: 558 pages, Illustrations. BIC Classification: KCH; KFF; PBT. Category: (P) Professional & Vocational. Dimension: 237 x 158 x 38. Weight in Grams: 942.
Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection.
Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can 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 the practical applications of ARCH, an increasingly popular financial modelling technique.
- Assumes no prior knowledge of ARCH models; ... Read more
- Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented.
- Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models.
- Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples.
Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.
Show LessProduct Details
Format
Hardback
Publication date
2010
Publisher
John Wiley and Sons Ltd United Kingdom
Number of pages
558
Condition
New
Number of Pages
558
Place of Publication
New York, United States
ISBN
9780470066300
SKU
V9780470066300
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-1
About Evdokia Xekalaki
Evdokia Xekalaki, Department of Statistics, Athens University of Economics and Business Professor Xekalaki has been teaching for nearly 30 years, and in that time has held such positions as Director of the graduate program, consultant to EUROSTAT and twice Chair of the Dept of Statistics at AUEB. She has published more than 50 papers in numerous international journals and has ... Read more
Reviews for ARCH Models for Financial Applications
"Numerous articles on the Autoregressive Conditional Heteroskedastic (ARCH) process, an increasingly popular financial modeling technique, exist in various international journals. Now Xekalaki and Degiannakis (both statistics, Athens U. of Economics and Business, Greece) provide a thorough treatment of the ARCH theory and its practical applications, in a textbook for postgraduate and final-year undergraduate students which could serve as reference work ... Read more