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ARCH : Selected Readings - Robert F. Engle


Selected Readings

By: Robert F. Engle (Editor)

Paperback Published: 16th November 1995
ISBN: 9780198774327
Number Of Pages: 424

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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 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: - what model to use - what time intervals to employ - how to model multivariate systems - how to apply the models to price and trade options - how to model volatility spillovers across markets and within the day For each of these issues, the selection of a number of papers by different authors allows a variety of viewpoints to emerge. Many applications to financial markets are included, and a new introduction by the editor connects the papers to trace the development of the field. the result is a timely, useful book which will bring graduate students, faculty, and practitioners up to date on this rapidly expanding field of research.

Industry Reviews

`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

Contributors and Their Current Affiliations
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflationp. 1
Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M Modelp. 24
Generalized Autoregressive Conditional Heteroskedasticityp. 42
Expected Stock Returns and Volatilityp. 61
Conditional Heteroskedasticity in Asset Returns: A New Approachp. 87
Semiparametric ARCH Modelsp. 114
Measuring and Testing the Impact of News on Volatilityp. 145
Stationarity and Persistence in the GARCH(1,1) Modelp. 176
ARCH Models as Diffusion Approximationsp. 193
Temporal Aggregation of GARCH Processesp. 221
A Capital-Asset Pricing Model with Time-Varying Covariancesp. 241
Multivariate Stochastic Variance Modelsp. 256
Asset Pricing with a FACTOR-ARCH Covariance Structure: Empirical Estimates for Treasury Billsp. 277
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Modelp. 300
Forecasting Volatility and Option Prices of the SandP 500 Indexp. 314
Stock Market Volatility and the Information Content of Stock Index Optionsp. 332
Implied ARCH Models from Options Pricesp. 353
Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Marketp. 375
Author Indexp. 395
Subject Indexp. 398
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9780198774327
ISBN-10: 019877432X
Series: Advanced Texts in Econometrics (Paperback)
Audience: Professional
Format: Paperback
Language: English
Number Of Pages: 424
Published: 16th November 1995
Country of Publication: GB
Dimensions (cm): 23.39 x 15.37  x 2.69
Weight (kg): 0.7

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