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ARCH Models for Financial Applications +CD

Name: ARCH Models for Financial Applications +CD
Brand: John Wiley & Sons Inc
SKU: 9780470066300
Price: 41321 HUF
Availability: InStock

Szerző: Xekalaki

Nyelv:

Kötés: Kemény kötésű

Kiadó: John Wiley & Sons Inc

Elérhetőség: Beszállítói készleten alacsony példányszámban

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Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price...

Információk a könyvről

Szerző

Xekalaki

Nyelv

Angol

Kötés

Könyv - Kemény kötésű

Kiadva

2010

oldal

558

EAN

9780470066300

ISBN

047006630X

Enbook ID

04379814

Kiadó

John Wiley & Sons Inc

Súly

942

Méretek

158 x 237 x 38

Teljes leírás

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.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 undergraduate-level statistics.

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ARCH Models for Financial Applications +CD

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