Arch: selected readings
Éditeur :
Oxford University Press
ISBN :
9780198774327
Date de publication :
16 nov. 1995
Dimensions :
23,6 x 15,4 x 2,4 cm
Poids :
616 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
In the early 1980s, R.F. Engle pioneered the econometric technique of auto-regressive conditional heteroskedasticity (ARCH). This collection of essays explores both applied and theoretical ARCH models. Its introduction traces the development of this field of econometrics.