ARCH: Selected Readings (Advanced Texts in Econometrics)

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9780198774327: ARCH: Selected Readings (Advanced Texts in Econometrics)

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 readings on ARCH models, both applied and theoretical, half by Engle himself and half by other econometricians working in the field. It begins with an introduction by the editor which traces the development of the field.

About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

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From the Back Cover:

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.

About the Author:

R. F. Engle is at University of California, San Diego.

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