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| Contributors and Their Current Affiliations | ||
| Introduction | ||
| 1 | Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation | 1 |
| 2 | Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M Model | 24 |
| 3 | Generalized Autoregressive Conditional Heteroskedasticity | 42 |
| 4 | Expected Stock Returns and Volatility | 61 |
| 5 | Conditional Heteroskedasticity in Asset Returns: A New Approach | 87 |
| 6 | Semiparametric ARCH Models | 114 |
| 7 | Measuring and Testing the Impact of News on Volatility | 145 |
| 8 | Stationarity and Persistence in the GARCH(1,1) Model | 176 |
| 9 | ARCH Models as Diffusion Approximations | 193 |
| 10 | Temporal Aggregation of GARCH Processes | 221 |
| 11 | A Capital-Asset Pricing Model with Time-Varying Covariances | 241 |
| 12 | Multivariate Stochastic Variance Models | 256 |
| 13 | Asset Pricing with a FACTOR-ARCH Covariance Structure: Empirical Estimates for Treasury Bills | 277 |
| 14 | Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model | 300 |
| 15 | Forecasting Volatility and Option Prices of the S&P 500 Index | 314 |
| 16 | Stock Market Volatility and the Information Content of Stock Index Options | 332 |
| 17 | Implied ARCH Models from Options Prices | 353 |
| 18 | Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market | 375 |
| Author Index | 395 | |
| Subject Index | 398 |
| Price | Condition | Delivery | Seller | Action |
| $99.99 | Digital |
| WonderClub |
Jerry Wright
reviewed Arch: Selected Readings on October 05, 2014
Arch: Selected Readings
You know its a rehash of capra's turning point. not impressed.
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Add Arch: Selected Readings, In the early 1980s, R. F. Engle pioneered the econometric technique of Auto-Regressive Conditional Heteroskedasticity (ARCH), which has subsequently generated a very considerable literature. This collection brings together readings on ARCH models, both ap, Arch: Selected Readings to the inventory that you are selling on WonderClubX
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Add Arch: Selected Readings, In the early 1980s, R. F. Engle pioneered the econometric technique of Auto-Regressive Conditional Heteroskedasticity (ARCH), which has subsequently generated a very considerable literature. This collection brings together readings on ARCH models, both ap, Arch: Selected Readings to your collection on WonderClub |