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ARCH: Selected Readings (Advanced Texts in Econometrics)From Oxford University Press
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In the early 1980s, R. F. Engle pioneered the econometric technique of Auto-Regressive Conditional Heteroskedasticity (ARCH), which has subsequently generated a very considerable literature. This collection brings together readings on ARCH models, both applied and theoretical, half by Engle himself and half by other econometricians working in the field. It begins with an introduction by the editor which traces the development of the field.
About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
- Sales Rank: #4578606 in Books
- Published on: 1995-12-28
- Original language: English
- Number of items: 1
- Dimensions: 6.25" h x .98" w x 9.19" l, 1.40 pounds
- Binding: Paperback
- 424 pages
Review
`This volume brings together a number of articles which have been important in the development of ARCH models ... The articles cover a wide range of topics and include methodological as well as more applied topics ... the volume does serve a useful purpose in making accessible these contributions which were originally published in a diverse range of journals. I am sure it will become a frequently consulted addition to many a bookshelf.' The Economic Journal
From the Back Cover
In the early 1980s, R. F. Engle pioneered the econometric technique of Auto-Regressive Conditional Heteroskedasticity (ARCH), which has subsequently generated a very considerable literature. This collection brings together the leading papers which have shaped ARCH research from its inception to the latest developments. Papers present both theory and financial market analysis, and discuss the key issues in the use of ARCH models to study volatility and correlation: which model to use, what time intervals to employ, how to model multivariate systems, how to apply the models to price and trade options, and how to model volatility spillovers across markets and within the day.
About the Author
R. F. Engle is at University of California, San Diego.
Most helpful customer reviews
5 of 5 people found the following review helpful.
A collection of the most important papers in ARCH literature
By Daniel Ventosa S
R.F. Engle invented the ARCH model (1982). Since then, such models (the original ARCH and a plethora of cousins inspired by Engle's.) appear every time you deal with heteroscedasticity problems. Being one of the most important developments of the last 20 years, every manual dealing with that is welcome. As the title suggests, this one is a collection of the most important papers of the ARCH literature. You'll find among others, the original Engle's paper presenting the ARCH, Bollerslev paper proposing the GARCH, Engle, Lilien and Robins ARCH-M paper, and many others dealing with their stationarity, the advantages of being good diffusion approximations, many empirical studies (stock returns and its volatility, exchange rates, etc...) and semi-parametric ARCH models. I can't deny the utility of the manual (If you are able to read the whole book, you'll understand pretty well the ARCH theory), but be warned, you won't have the very latest developments, the ones that appeared during the 90 decade (I recommend, in that case, to buy "Non-Linear time series models in empirical finance", by Franses and van Dijk). All the articles here appeared in specialized econometric journals; Robert Engle chooses the most important ones. This book is good, but you should be aware that some of the articles are particularly difficult as the ones written by Nelson, a brilliant econometrician. I think undergraduate students won't appreciate the book, it's pretty hard; even graduate students not specialized in econometrics will have problems. It's a book for those knowing already something about ARCH, the others, if they want to learn, should start somewhere else. I propose James D. Hamilton book or, a simpler one, Enders manual.
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