ARCH Models for Financial Applications

ARCH Models for Financial Applications

Author(s): Evdokia Xekalaki, Stavros Degiannakis

Print ISBN: 9780470066300

Online ISBN: 9780470688014

DOI: 10.1002/9780470688014


"Numerous articles on the Autoregressive Conditional Heteroskedastic (ARCH) process, an increasingly popular financial modeling technique, exist in various international journals. Now Xekalaki and Degiannakis (both statistics, Athens U. of Economics and Business, Greece) provide a thorough treatment of the ARCH theory and its practical applications, in a textbook for postgraduate and final-year undergraduate students which could serve as reference work for academics and financial market professionals." (Book News Inc, November 2010)