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ARCH Models for Financial Applications

Evdokia Xekalaki | Stavros Degiannakis
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A01=Evdokia Xekalaki
A01=Stavros Degiannakis
ARCH models
ARCH theory
Author_Evdokia Xekalaki
Author_Stavros Degiannakis
Category=KCH
Category=KFF
Category=PBT
econometric modeling
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eq_business-finance-law
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eq_nobargain
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financial applications
financial engineering
probability
statistics
statistics for finance

Product details

  • ISBN 9780470066300
  • Weight: 934g
  • Dimensions: 160 x 236mm
  • Publication Date: 09 Apr 2010
  • Publisher: John Wiley & Sons Inc
  • Publication City/Country: US
  • Product Form: Hardback
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Description
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 practical applications of ARCH, an increasingly popular financial modelling technique.
  • Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation.
  • Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented.
  • Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models.
  • Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples.

Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.
About Evdokia Xekalaki | Stavros Degiannakis

Evdokia Xekalaki, Department of Statistics, Athens University of Economics and Business
Professor Xekalaki has been teaching for nearly 30 years, and in that time has held such positions as Director of the graduate program, consultant to EUROSTAT and twice Chair of the Dept of Statistics at AUEB. She has published more than 50 papers in numerous international journals and has presented papers at many international conferences. She is also the Chief Editor of the journal Quality Technology and Quantitative Management and on the Editorial Board for the Journal of Applied Stochastic Models in Business and Industry.

Stavros Degiannakis, Department of Statistics, Athens University of Economics and Business
Adjunct lecturer in applied econometrics, Dr Degiannakis acquired his PhD last year, and has already had eight articles published in seven journals, and eight other papers presented at a variety of international conferences.

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