The Resource ARCH models for financial applications, Evdokia Xekalaki, Stavros Degiannakis

ARCH models for financial applications, Evdokia Xekalaki, Stavros Degiannakis

Label
ARCH models for financial applications
Title
ARCH models for financial applications
Statement of responsibility
Evdokia Xekalaki, Stavros Degiannakis
Creator
Contributor
Subject
Language
eng
Summary
ARCH Models for Financial Applications provides background on the theory of ARCH models, with a focus on practical implementation via applications to real data and examples worked with econometrics packages. The interactional exposition of the ARCH theory, and its implementation in practice that the authors adopt, helps readers get a deeper understanding of the models and their use as tools in applied financial contexts. Intended for readers seeking an aptitude in the applications of financial econometric modeling, this book requires only a basic knowledge of econometrics and basic undergradua
Cataloging source
DG1
Dewey number
332.01/519536
Index
index present
LC call number
HG106
LC item number
.X45 2010
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Label
ARCH models for financial applications, Evdokia Xekalaki, Stavros Degiannakis
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references (pages 479-520) and index
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
ARCH Models for Financial Applications; Contents; Preface; Notation; 1 What is an ARCH process?; 2 ARCH volatility specifications; 3 Fractionally integrated ARCH models; 4 Volatility forecasting: an empirical example using EViews 6; 5 Other distributional assumptions; 6 Volatility forecasting: an empirical example using G@RCH Ox; 7 Intraday realized volatility models; 8 Applications in value-at-risk, expected shortfall and options pricing; 9 Implied volatility indices and ARCH models; 10 ARCH model evaluation and selection; 11 Multivariate ARCH models; References; Author Index; Subject Index
Control code
ocn613332086
Dimensions
unknown
Extent
1 online resource (1 electronic resource (xx, 538 pages))
File format
one file format
Form of item
online
Isbn
9780470066300
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1002/9780470688014
Quality assurance targets
unknown
http://library.link/vocab/recordID
.b25147146
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)613332086
  • pebcs047006630X

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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