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Robert F. Engle

Arch: Selected Readings (Advanced Texts in Econometrics)

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ISBN: 019877432X
Издательство: Oxford University Press
Год издания: 1995
Страниц: 424
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.