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Arch Models and Financial Applications (Springer Series in Statistics)

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Synopses & Reviews

Publisher Comments:

The classical ARMA models have limitations when applied to the field of financial and monetary economics. Financial time series present nonlinear dynamic characteristics and the ARCH models offer a more adaptive framework for this type of problem. This book surveys the recent work in this area from the perspective of statistical theory, financial models, and applications and will be of interest to theorists and practitioners. From the view point of statistical theory, ARCH models may be considered as specific nonlinear time series models which allow for an exhaustive study of the underlying dynamics. It is possible to reexamine a number of classical questions such as the random walk hypothesis, prediction interval building, presence of latent variables etc., and to test the validity of the previously studied results. There are two main categories of potential applications. One is testing several economic or financial theories concerning the stocks, bonds, and currencies markets, or studying the links between the short and long run. The second is related to the interventions of the banks on the markets, such as choice of optimal portfolios, hedging portfolios, values at risk, and the size and times of block trading.

Product Details

ISBN:
9781461273141
Author:
Gourieroux, Christian
Publisher:
Springer
Location:
New York, NY
Subject:
Mathematics - Statistics
Subject:
Statistics
Subject:
Statistics for Business/Economics/Mathematical Finance/Insurance
Subject:
Economic theory
Subject:
Language, literature and biography
Subject:
mathematics and statistics
Subject:
Economics_xStatistics
Subject:
Economics
Copyright:
Edition Description:
Softcover reprint of the original 1st ed. 1997
Series:
Springer Series in Statistics
Publication Date:
20121031
Binding:
TRADE PAPER
Language:
English
Pages:
238
Dimensions:
235 x 155 mm

Related Subjects

Business » General
Business » Management
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History and Social Science » Economics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics

Arch Models and Financial Applications (Springer Series in Statistics) New Trade Paper
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Product details 238 pages Springer - English 9781461273141 Reviews:
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