ARCH models for financial applications

E. Xekalaki, Stavros Degiannakis

Research output: Book/ReportBook

Abstract

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
PublisherWiley
Number of pages538
ISBN (Print)9780470066300
Publication statusPublished - 2010

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