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Arch Models and Financial Applications (1997)

by Gourieroux, Christian

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Description

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.

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Product Details

  • Apr 1, 1997 Pub Date:
  • 0387948767 ISBN-10:
  • 9780387948768 ISBN-13:
  • English Language