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ARCH Models and Financial Applications

By: Language: English Series: Springer Series in Statistics | Bickel, P. (Ed.) | Diggle, P. (Ed.) | Fienberg, S. (Ed.) | et alPublication details: New York, Berlin, Heidelberg : Springer-Verlag 1997Edition: 1. EdDescription: ix, 228 pp., 26 FiguresISBN:
  • 0-387-94876-7
Online resources:
Contents:
from the Table of Contents: Introduction; Linear and Nonlinear Processes; Univariate ARCH Models; Estimation and Tests; Some Applications of Univariate ARCH Models; Multivariate ARCH Models; Efficient Portfolios and Hedging Portfolios; Factor Models, Diversification and Efficiency; Equilibrium Models; References; Index;
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Loanable Institute for Advanced Studies (IHS) Book 16139-A Available IHS101132608

from the Table of Contents: Introduction; Linear and Nonlinear Processes; Univariate ARCH Models; Estimation and Tests; Some Applications of Univariate ARCH Models; Multivariate ARCH Models; Efficient Portfolios and Hedging Portfolios; Factor Models, Diversification and Efficiency; Equilibrium Models; References; Index;

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