ARCH models and financial applications

ARCH models and financial applications

by Christian Gourieroux

Part of Springer series in statistics

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About
ARCH models provide an appropriate framework for studying financial and monetary problems. This book surveys recent work with ARCH models from the perspective of statistical theory, financial models, and applications. Translated from the French edition, new sections on stochastic volatility and time deformation have been added. The book will be suitable for readers with a background in econometrics and ARMA modeling.

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