ARCH Models for Financial Applications

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 practi

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Year of publication:	2010 ; 2nd ed
Authors:	Xekalaki, Evdokia
Other Persons:	Degiannakis, Stavros (contributor)
Publisher:	Hoboken : John Wiley & Sons, Ltd
Subject:	ARCH-Modell \| ARCH model \| Finanzmarkt \| Financial market \| Portfolio-Management \| Portfolio selection \| Finanzmathematik \| Mathematical finance \| Theorie \| Theory
Description of contents:	Table of Contents [external.dandelon.com]

Extent:	Online-Ressource (560 p.)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record 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 GRCH 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
ISBN:	978-0-470-06630-0 ; 978-0-470-68802-1 ; 978-0-470-06630-0
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012676012