Arch Models and Financial Applications 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2025

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Christian Gourieroux 作者

Springer

译者

1997-4-1 出版日期

244 页数

GBP 109.99 价格

Hardcover

丛书系列

9780387948768 图书编码

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发表于2025-01-23

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Arch Models and Financial Applications 在线电子书 epub 下载 mobi 下载 pdf 下载 txt 下载 2025

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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.

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