Customer Reviews

ARCH: Selected Readings (Advanced Texts in Econometrics)

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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.