ARCH Models and Financial Applications (Springer Series in Statistics) [Hardcover]

Christian Gourieroux (Author)

Book Description

ISBN-10: 0387948767 | ISBN-13: 978-0387948768 | Publication Date: April 1, 1997 | Edition: 1

The classical ARMA models have limitations when applied to the field of financial and monetary economics. Financial time series present nonlinear dynamic characteristics and the ARCH models offer a more adaptive framework for this type of problem. This book surveys the recent work in this area from the perspective of statistical theory, financial models, and applications and will be of interest to theorists and practitioners. From the view point of statistical theory, ARCH models may be considered as specific nonlinear time series models which allow for an exhaustive study of the underlying dynamics. It is possible to reexamine a number of classical questions such as the random walk hypothesis, prediction interval building, presence of latent variables etc., and to test the validity of the previously studied results. There are two main categories of potential applications. One is testing several economic or financial theories concerning the stocks, bonds, and currencies markets, or studying the links between the short and long run. The second is related to the interventions of the banks on the markets, such as choice of optimal portfolios, hedging portfolios, values at risk, and the size and times of block trading.

Editorial Reviews

Review

From the reviews:

RISKBOOK.COM

"Gourieroux offers a nice balance of theory and application in this book on ARCH modeling in finance…The book is well written and has extensive references. Its focus on finance will appeal to financial engineers and financial risk managers."

Product Details

• Hardcover: 237 pages
• Publisher: Springer; 1 edition (April 1, 1997)
• Language: English
• ISBN-10: 0387948767
• ISBN-13: 978-0387948768
• Product Dimensions: 9.3 x 6.1 x 0.8 inches
• Shipping Weight: 1 pounds (View shipping rates and policies)
• Average Customer Review: 4.0 out of 5 stars  See all reviews (5 customer reviews)
• Amazon Best Sellers Rank: #2,697,957 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

24 of 24 people found the following review helpful:

4.0 out of 5 stars good coverage of modern time series models used in finance, February 6, 2008

By 

Michael R. Chernick "statman31147" (Holland PA) - See all my reviews
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This review is from: ARCH Models and Financial Applications (Springer Series in Statistics) (Hardcover)

Gourieroux is an expert in econometrics and has written several excellent texts on time series analysis and its application in economics and finance in particular. This text specializes as a primer on ARCH models. These models are very useful in finance where the time series are often nonlinear and volatile. This text covers the subject in just over 200 pages. Many useful references are provided in the various reference lists at teh back of the book.

25 of 26 people found the following review helpful:

4.0 out of 5 stars A great manual, but pretty hard, April 19, 2001

By 

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

This review is from: ARCH Models and Financial Applications (Springer Series in Statistics) (Hardcover)

So far, I own three books of Gourieroux. This one is the first I enjoyed reading. ARCH-type models are pretty recent (Engle, 1982) and I think there is not a plethora of manuals dealing with them at an introductory level. This is not exactly an introductory book; but it covers extensively (till 1993) the topic and gives all the statistical results and demonstrations. The first chapters are particularly good: the introduction is pretty clear and persuasive; the explanation of stationarity proves to be very useful and the examples of no linearity resume well the mathematical tools available nowadays. After that, the challenging part begins: a chapter introducing the ARCH model (all statistical properties appear there), another one dealing with estimation and test procedures, GARCH... Half of the manual is dedicated to interesting (but sometimes pretty complex) financial applications, such as the CAPM model. It has to be said that you require a very solid mathematical knowledge (not for undergraduate economists); otherwise, you will feel frustrated. I personally recommend (for those ignoring everything about ARCH's) to get started with Johnston and Dinardo's brief chapter of ARCH (Econometric Methods), then reading the very same chapter in Ender's manual and then reading Hamilton's ARCH's chapter. Once you understood this literature, you will be able to read comfortably Gourieroux's manual, which is far more complete than the others. There is a lot of mathematical formulation, but this time, Gourieroux explains it better than usual.

10 of 13 people found the following review helpful:

2.0 out of 5 stars Academic and dated, April 30, 2002

By 

P. H. Lasky (Rancho Santa Fe, CA United States) - See all my reviews
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This review is from: ARCH Models and Financial Applications (Springer Series in Statistics) (Hardcover)

This text is not helpful to the reader who wishes to devise and estimate GARCH models. Moreover it provides no insight into the practical use of these models in the analyses of financial data. Much of the material appears to be lecture notes by an academic who has no idea of how to apply GARCH models. Particularly missing is any discussion of how to estimate the parameters of GARCH models.