ARCH Models for Financial Applications BY Evdokia Xekalaki, Stavros Degiannakis

ARCH Models for Financial Applications BY Evdokia Xekalaki, Stavros Degiannakis
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ARCH Models for Financial Applications

BY Evdokia Xekalaki, Stavros Degiannakis





Publisher: Wiley; 1 edition (May 24, 2010)



Review "Numerous articles on the Autoregressive Conditional Heteroskedastic (ARCH) process, an increasingly popular financial modeling technique, exist in various international journals. Now Xekalaki and Degiannakis (both statistics, Athens U. of Economics and Business, Greece) provide a thorough treatment of the ARCH theory and its practical applications, in a textbook for postgraduate and final-year undergraduate students which could serve as reference work for academics and financial market professionals." (Book News Inc, November 2010) Product Description 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.