ARCH Models for Financial Applications is popular PDF and ePub book, written by Evdokia Xekalaki in 2010-03-18, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, ARCH Models for Financial Applications can be Read Online from any device for your convenience.
ARCH Models for Financial Applications Book PDF Summary
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.
Detail Book of ARCH Models for Financial Applications PDF
- Author : Evdokia Xekalaki
- Release : 18 March 2010
- Publisher : John Wiley & Sons
- ISBN : 0470688025
- Genre : Mathematics
- Total Page : 558 pages
- Language : English
- PDF File Size : 19,6 Mb
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