ARCH: Selected Readings (Advanced Texts in Econometrics) [Paperback]

Robert F. Engle (Editor)

Book Description

ISBN-10: 019877432X | ISBN-13: 978-0198774327 | Publication Date: December 28, 1995

In the early 1980s, R. F. Engle pioneered the econometric technique of Auto-Regressive Conditional Heteroskedasticity (ARCH), which has subsequently generated a very considerable literature. This collection brings together readings on ARCH models, both applied and theoretical, half by Engle himself and half by other econometricians working in the field. It begins with an introduction by the editor which traces the development of the field.

About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

Editorial Reviews

Review

`This volume brings together a number of articles which have been important in the development of ARCH models ... The articles cover a wide range of topics and include methodological as well as more applied topics ... the volume does serve a useful purpose in making accessible these contributions which were originally published in a diverse range of journals. I am sure it will become a frequently consulted addition to many a bookshelf.' The Economic Journal

About the Author

R. F. Engle is at University of California, San Diego.

Product Details

• Paperback: 424 pages
• Publisher: Oxford University Press, USA (December 28, 1995)
• Language: English
• ISBN-10: 019877432X
• ISBN-13: 978-0198774327
• Product Dimensions: 9.2 x 6 x 1.1 inches
• Shipping Weight: 1.4 pounds (View shipping rates and policies)
• Average Customer Review: 3.0 out of 5 stars  See all reviews (1 customer review)
• Amazon Best Sellers Rank: #2,404,062 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

5 of 5 people found the following review helpful:

3.0 out of 5 stars A collection of the most important papers in ARCH literature, August 27, 2001

By 

Daniel Ventosa S (Marseille, France) - See all my reviews

This review is from: ARCH: Selected Readings (Advanced Texts in Econometrics) (Paperback)

R.F. Engle invented the ARCH model (1982). Since then, such models (the original ARCH and a plethora of cousins inspired by Engle's.) appear every time you deal with heteroscedasticity problems. Being one of the most important developments of the last 20 years, every manual dealing with that is welcome. As the title suggests, this one is a collection of the most important papers of the ARCH literature. You'll find among others, the original Engle's paper presenting the ARCH, Bollerslev paper proposing the GARCH, Engle, Lilien and Robins ARCH-M paper, and many others dealing with their stationarity, the advantages of being good diffusion approximations, many empirical studies (stock returns and its volatility, exchange rates, etc...) and semi-parametric ARCH models. I can't deny the utility of the manual (If you are able to read the whole book, you'll understand pretty well the ARCH theory), but be warned, you won't have the very latest developments, the ones that appeared during the 90 decade (I recommend, in that case, to buy "Non-Linear time series models in empirical finance", by Franses and van Dijk). All the articles here appeared in specialized econometric journals; Robert Engle chooses the most important ones. This book is good, but you should be aware that some of the articles are particularly difficult as the ones written by Nelson, a brilliant econometrician. I think undergraduate students won't appreciate the book, it's pretty hard; even graduate students not specialized in econometrics will have problems. It's a book for those knowing already something about ARCH, the others, if they want to learn, should start somewhere else. I propose James D. Hamilton book or, a simpler one, Enders manual.