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  • © 1997

ARCH Models and Financial Applications

Part of the book series: Springer Series in Statistics (SSS)

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Table of contents (9 chapters)

  1. Front Matter

    Pages i-ix
  2. Introduction

    • Christian Gouriéroux
    Pages 1-4
  3. Linear and Nonlinear Processes

    • Christian Gouriéroux
    Pages 5-27
  4. Univariate ARCH Models

    • Christian Gouriéroux
    Pages 29-41
  5. Estimation and Tests

    • Christian Gouriéroux
    Pages 43-66
  6. Some Applications of Univariate ARCH Models

    • Christian Gouriéroux
    Pages 67-103
  7. Multivariate ARCH Models

    • Christian Gouriéroux
    Pages 105-124
  8. Efficient Portfolios and Hedging Portfolios

    • Christian Gouriéroux
    Pages 125-159
  9. Factor Models, Diversification and Efficiency

    • Christian Gouriéroux
    Pages 161-181
  10. Equilibrium Models

    • Christian Gouriéroux
    Pages 183-206
  11. Back Matter

    Pages 207-229

Reviews

From the reviews:

RISKBOOK.COM

"Gourieroux offers a nice balance of theory and application in this book on ARCH modeling in finance…The book is well written and has extensive references. Its focus on finance will appeal to financial engineers and financial risk managers."

Authors and Affiliations

  • Centre de Recherche en Economie et Statistique, Laboratoire de Finance-Assurance, Malakoff Cedex, France

    Christian Gouriéroux

Bibliographic Information

Buy it now

Buying options

eBook USD 84.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access