ARCH models for financial applications /

Afficher d'autres versions (1)

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...

Description complète

Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Xekalaki, Evdokia
Autres auteurs: Degiannakis, Stavros
Format: Électronique eBook
Langue:Inglés
Publié: Chichester ; Hoboken : John Wiley & Sons, ©2010.
Sujets:
Finance > Mathematical models.
Autoregression (Statistics)
Finances > Modèles mathématiques.
Autorégression (Statistique)
BUSINESS & ECONOMICS > Finance.
Finance > Mathematical models
Accès en ligne:Texto completo
Table des matières:
  • 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.

Documents similaires