ARCH models for financial applications

E. Xekalaki, Stavros Degiannakis

    Research output: Book/ReportBook


    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.
    Original languageEnglish
    Place of PublicationChichester
    Number of pages538
    ISBN (Print)9780470066300
    Publication statusPublished - 2010


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