Research Catalog

ARCH models and financial applications

Title: ARCH models and financial applications / Christian Gouriéroux.
Author: Gourieroux, Christian, 1949-
Publication: New York : Springer, 1997.

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Status	Format	Access	Call Number	Item Location
Request for On-site Use Request Scan How do I pick up this item and when will it be ready?	Text	Request in advance	HG176.5 .G68 1997	Off-site

Details

Description

ix, 228 pages; 24 cm.

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.

Series Statement

Springer series in statistics

Uniform Title

Springer series in statistics.

Subjects

Bibliography (note)

Includes bibliographical references (p. [207]-226) and index.

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.

ISBN

0387948767 (alk. paper)

LCCN

96033588

OCLC

35280552
ocm35280552

Owning Institutions

Columbia University Libraries