There is little literature explaining the theory behind ARCH models, and lessstill that combines it with the models applications. As yet there is nothing that introduces both the theory and applications of ARCH models at a level accessible to readers with no prior knowledge of the area. This title intends to do exactly that, providing the basic theoretical and empirical background, before proceeding to more advanced issues and applications. Provides coverage of the way in which recent developments in ARCH modeling can be implemented usingeconometric software, from model construction, fitting and forecasting, through to model evaluation and selection. Links to relevant software will be available on a supplementary website, along with the datasets used in the examples.Evdokia Xekalaki Department of Statistics, Athens University of Economics andBusiness Professor Xekalaki has been teaching for nearly 30 years, and in that time has held such positions as Director of the graduate program, consultantto EUROSTAT and twice Chair of the Dept of Statistics at AUEB. She has published more than 50 papers in numerous international journals and has presented papers at many international conferences. She is also the Chief Editor of the journal Quality Technology and Quantitative Management and on the Editorial Board for the Journal of Applied Stochastic Models in Business and Industry. Stavros Degiannakis Department of Statistics, Athens University of Economics and Business Adjunct lecturer in applied econometrics, Dr Degiannakis acquired his PhD last year, and has already had eight articles published in seven journals,and eight other papers presented at a variety of international conferences.
- ISBN: 978-0-470-06630-0
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 536
- Fecha Publicación: 16/04/2010
- Nº Volúmenes: 1
- Idioma: Inglés