ARCH models for financial applications

ARCH models for financial applications

by Xekalaki, Evdokia

Type Book
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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. The interactional exposition of the ARCH theory, and its implementation in practice that the authors adopt, helps readers get a deeper understanding of the models and their use as tools in applied financial contexts. Intended for readers seeking an aptitude in the applications of financial …

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Title Statements

  • Full title :ARCH models for financial applications / Evdokia Xekalaki, Stavros Degiannakis.

Summary

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. The interactional exposition of the ARCH theory, and its implementation in practice that the authors adopt, helps readers get a deeper understanding of the models and their use as tools in applied financial contexts. Intended for readers seeking an aptitude in the applications of financial econometric modeling, this book requires only a basic knowledge of econometrics and basic undergradua.

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Edition Statements

  • Publication Date:©2010.

Publication Statements

  • Publisher(s):John Wiley & Sons
  • Place of Publication:Chichester
  • Language:eng
  • Publication Date:©2010.

The Physical Object

  • Description:1 online resource (1 electronic resource (xx, 538 pages))

Edition Identifiers

  • ISBN:9780470688014, 0470688017, 9780470688021, 0470688025, 047006630X, 9780470066300, 9786612547744, 661254774X, 1282547747, 9781282547742
  • DOI:10.1002/9780470688014
  • oclc:ocn613332086
  • LC Classification:HG106
  • Dewey Decimal:332.01/519536

Table of Contents

ARCH Models for Financial Applications; Contents; Preface; Notation; 1 What is an ARCH process?; 2 ARCH volatility specifications; 3 Fractionally integrated ARCH models; 4 Volatility forecasting: an empirical example using EViews 6; 5 Other distributional assumptions; 6 Volatility forecasting: an empirical example using G@RCH Ox; 7 Intraday realized volatility models; 8 Applications in value-at-risk, expected shortfall and options pricing; 9 Implied volatility indices and ARCH models; 10 ARCH model evaluation and selection; 11 Multivariate ARCH models; References; Author Index; Subject Index.

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Subjects

Autoregression (Statistics) Autorégression (Statistique) Business & Economics -- Finance Finance -- mathematical models Finances -- Modèles mathématiques

Writers

Xekalaki, Evdokia Degiannakis, Stavros

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