ARCH: Selected Readings

<body stylesrc="../_private/template_title.htm" topmargin="10" leftmargin="10" bgcolor="#FFFFFF" link="#333366" vlink="#000000" alink="#000000"> <div align="left"> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="0" id="table2"> <tr> <td width="780"> <div align="center"> <table border="0" cellpadding="5" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table3"> <tr> <td valign="top" align="right" height="198" width="1%"> <p align="left"> <img src="../images/book_engle.gif" alt="book_engle.gif (5051 bytes)" border="0" width="130" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" id="table4"> <tr> <td colspan="3" width="0%"> <p class="book_title">ARCH: Selected Readings</td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"><img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> <td width="52%" class="book_details_tags" valign="top" height="144" align="left" rowspan="9"> <map name="FPMap2"> <area href="../main/ratings.htm" shape="rect" coords="74, 0, 164, 33"> </map> <img border="0" src="../images_title/engle_59.gif" usemap="#FPMap2" width="206" height="158"></td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" height="32" align="center" width="50%" rowspan="2"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> </table> </td> </tr> </table> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="468" id="table5"> <tr> <td> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </div> <table border="0" cellpadding="5" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table6"> <tr> <td width="50%" valign="top" rowspan="2"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table7"> <tr> <td width="100%" bgcolor="#333366"> <p class="header_yellow" align="center">Contents</td> </tr> <tr> <td width="100%" class="explanatory_text"> <table border="1" cellpadding="0" cellspacing="5" style="border-collapse: collapse" bordercolor="#CCCCFF" bgcolor="#CCCCFF" width="100%" id="table8"> <tr> <td class="contents_expanded"> <p class="contents" style="margin-top: 4; margin-bottom: 4">1. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation<br> <i>Robert Engle</i></p> <p class="contents" style="margin-top: 4; margin-bottom: 4">2. Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M Model<br> <i>Robert Engle, David Lilien, Russell Robins</i></p> <p class="contents" style="margin-top: 4; margin-bottom: 4">3. Generalized Autoregressive Conditional Heteroskedasticity<br> <i>Tim Bollerslev</i></p> <p class="contents" style="margin-top: 4; margin-bottom: 4">4. Expected Stock Returns and Volatility<br> <i>Kenneth French, G. William Schwertz, Robert Staumbaugh</i></p> <p class="contents" style="margin-top: 4; margin-bottom: 4">5. Conditional Heteroskedasticity in Asset Returns: A New Approach<br> <i>Daniel Nelson</i></p> <p class="contents" style="margin-top: 4; margin-bottom: 4">6. Semiparametric ARCH Models<br> <i>Robert Engle, Gloria Gonzalez-Rivera</i></p> <p class="contents" style="margin-top: 4; margin-bottom: 4">7. Measuring and Testing the Impact of News on Volatility<br> <i>Robert Engle and Victor Ng</i></p> <p class="contents" style="margin-top: 4; margin-bottom: 4">8. Stationarity and Persistence in the GARCH(1,1) Model<br> <i>Daniel Nelson</i></p> <p class="contents" style="margin-top: 4; margin-bottom: 4">9. ARCH Models as Diffusion Approximations<br> <i>Daniel Nelson</i></p> <p class="contents" style="margin-top: 4; margin-bottom: 4">10. Temporal Aggregation of GARCH Processes<i><br> Feike Drost and Theo Nijman</i></p> <p class="contents" style="margin-top: 4; margin-bottom: 4">11. A Capital-Asset Pricing Model with Time-Varying Covariances<br> <i>Tim Bollerslev. Robert Engle, Jeffrey Wooldridge</i></p> <p class="contents" style="margin-top: 4; margin-bottom: 4">12. Multivariate Stochastic Variance Models<br> <i>Andrew Harvey, Esther Ruiz, Neil Shephard</i></p> <p class="contents" style="margin-top: 4; margin-bottom: 4">13. Asset Pricing with a FACTOR-ARCH Covariance Structure: Empirical Estimates for Treasury Bills<br> <i>Robert Engle, Victor Ng, Michael Rothschild</i><p class="contents_expanded" style="margin-top: 4; margin-bottom: 4">14. Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model<br> <i>Tim Bollerslev</i></p> <p class="contents_expanded" style="margin-top: 4; margin-bottom: 4">15. Forecasting Volatility and Option Prices of the S&P 500 Index<br> <i>Jaesun Noh, Robert Engle, Alex Kane</i></p> <p class="contents_expanded" style="margin-top: 4; margin-bottom: 4">16. Stock Market Volatility and the Information Content of Stock Index Options<br> <i>Theodore Day, Craig Lewis</i></p> <p class="contents_expanded" style="margin-top: 4; margin-bottom: 4">17. Implied ARCH Models from Options Prices<br> <i>Robert Engle, Mustafa Chowdhury</i></p> <p class="contents_expanded" style="margin-top: 4; margin-bottom: 4">18. Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market<br> <i>Robert Engle, Takatoshi Ito, Weng-Ling Lin</i></td> </tr> </table> </td> </tr> </table> </td> <td width="50%" valign="top" class="body"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="125" align="left" id="table9"> <tr> <td width="120"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td><td width="5"> </td> </tr> </table> <p align="left" class="body_expanded" style="line-height: 135%">Robert Engle published the pioneering paper on autoregressive conditional heteroskedasticity (ARCH) in <i> Econometrica</i> in 1982. Since then, the field has grown enormously. Numerous papers have been written. Related models, including GARCH and EGARCH have been proposed. The methodologies have been implemented extensively in derivatives trading and risk management. In this volume, Engle pulls together the early papers that formed the foundation for the entire field. There are 18 papers in all, covering such topics as: theoretical developments, generalized models, applications to specific markets, implied ARCH processes and more. This is an excellent resource for researchers or theoretically-inclined practitioners. </p> <p align="center" class="body"> </p> </td> </tr> <tr> <td width="50%" valign="bottom" class="body"> <table border="0" cellpadding="5" cellspacing="0" style="border-collapse: collapse" width="100%" bgcolor="#FFFFCC" id="table10"> <tr> <td width="100%" align="left"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </td> </tr> </table> <div align="left"> <div align="left"> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table11"> <tr> <td width="50%" bgcolor="#FFFFCC" align="center" valign="top"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" bgcolor="#FFFFCC" id="table12"> <tr> <td> <p class="body" style="margin-bottom: 6"><b><font color="#333366" size="3">For related books, see sections:</font></b></p> <p class="bullet_line_space"><img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/math_probability.htm">Mathematics - Probability</a></p> <p class="bullet_line_space"><img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/math_time_series.htm">Mathematics - Time Series Analysis</a></p> <p class="bullet_line_space"><img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/finance_financial_econometrics.htm">Finance - Financial Econometrics</a></p> </td> </tr> </table> </td> </tr> </table> </div> </div> </td> <td>  </td> </tr> </table> </div>  <table border="0" style="border-collapse: collapse" width="100%" cellpadding="0" id="table1" bgcolor="#FFFFFF"> <tr> <td colspan="2" height="12"> <p style="margin-top: 0"> </td> </tr> <tr> <td align="right"> <p align="left" style="margin-bottom: 2px"> <noindex><a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Ads by Contingency Analysis.</font></a></noindex></td> <td align="left"> <p align="right" style="margin-bottom: 2px"> <noindex><a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Advertise on this site.</font></a></noindex></td> </tr> <tr> <td align="center" colspan="2">  <iframe src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=iframe" allowtransparency="true" background-color="transparent" style="margin: 0px; padding: 0px; border-width: 0px" width="300" height="250" frameborder="0" marginwidth="0" marginheight="0" scrolling="no"> <![if lt IE 4]> <script src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=js" type="text/javascript"> </script> <noscript> <noindex><a href="http://servedbyadbutler.com/go2/;ID=147917;size=300x250;setID=93136"> <img src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=img" border="0" height="250" width="300" alt=""></a></noindex> </noscript><![endif]> </iframe>   </td> </tr> </table> <p align="center" style="margin-top: 20"> <map name="FPMap0_I1"> <area href="http://www.riskbook.com" shape="rect" coords="0, 0, 184, 29" target="_top"></map> <img border="0" src="../images/open_book_riskbook.gif" usemap="#FPMap0_I1" width="185" height="30"></p> <p class="a" align="center"><font face="Arial" size="2"><a href="../main/disclaimer.htm">disclaimer</a></font></p> <p class="a" align="center"><span class="verdana10">website:</span> <noindex><a target="_top" href="http://www.contingencyanalysis.com"> <font size="2" face="Arial">http://www.contingencyanalysis.com</font></a></noindex><br> <span class="verdana10">books direct link:</span> <noindex><a target="_top" href="http://www.riskbook.com"><font size="2" face="Arial">http://www.riskbook.com</font></a></noindex><br> copyright <font face="Times New Roman">©</font> Contingency Analysis, 1996 - current</p> <p class="a" align="center"><map name="FPMap1_I1"> <area target="_top" href="http://www.contingencyanalysis.com" shape="rect" coords="0, 0, 240, 88"> </map><img border="0" src="../images/logo_book_white.gif" usemap="#FPMap1_I1" width="241" height="89"></p>  </body>