ARCH Models and Financial Applications
Author | : Christian Gourieroux |
Publisher | : Springer Science & Business Media |
Total Pages | : 244 |
Release | : 1997-04 |
ISBN-10 | : 0387948767 |
ISBN-13 | : 9780387948768 |
Rating | : 4/5 (768 Downloads) |
Download or read book ARCH Models and Financial Applications written by Christian Gourieroux and published by Springer Science & Business Media. This book was released on 1997-04 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: ARCH models provide an appropriate framework for studying financial and monetary problems. This book surveys recent work with ARCH models from the perspective of statistical theory, financial models, and applications. Translated from the French edition, new sections on stochastic volatility and time deformation have been added. The book will be suitable for readers with a background in econometrics and ARMA modeling.