ARCH models for financial applications /

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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Xekalaki, Evdokia
Otros Autores: Degiannakis, Stavros
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Chichester ; Hoboken : John Wiley & Sons, ©2010.
Temas:
Finance > Mathematical models.
Autoregression (Statistics)
Finances > Modèles mathématiques.
Autorégression (Statistique)
BUSINESS & ECONOMICS > Finance.
Finance > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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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