The Resource ARCH models and financial applications, Christian Gouriéroux

ARCH models and financial applications, Christian Gouriéroux

Label
ARCH models and financial applications
Title
ARCH models and financial applications
Statement of responsibility
Christian Gouriéroux
Creator
Subject
Language
eng
Summary
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
Cataloging source
TOC
Dewey number
332
Illustrations
illustrations
Index
index present
LC call number
HG176.5
LC item number
.G68 1997
Literary form
non fiction
Nature of contents
bibliography
Series statement
Springer series in statistics
Label
ARCH models and financial applications, Christian Gouriéroux
Publication
Bibliography note
Includes bibliographical references (p. [207]-226) and index
http://library.link/vocab/branchCode
  • zbnus
  • mel
Contents
1. Introduction -- 2. Linear and Nonlinear Processes -- 3. Univariate ARCH Models -- 4. Estimation and Tests -- 5. Some Applications of Univariate ARCH Models -- 6. Multivariate ARCH Models -- 7. Efficient Portfolios and Hedging Portfolios -- 8. Factor Models, Diversification and Efficiency -- 9. Equilibrium Models
Control code
000012665470
Dimensions
24 cm
Extent
ix, 228 p.
Isbn
9780387948768
Isbn Type
(New York : acid-free paper)
Lccn
96033588
Other physical details
ill.
http://library.link/vocab/recordID
.b19851893
System control number
  • 12665470lw
  • (OCoLC)35280552

Library Locations

    • Deakin University Library - Melbourne Burwood CampusBorrow it
      221 Burwood Highway, Burwood, Victoria, 3125, AU
      -37.846510 145.115099
    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
Processing Feedback ...