Tài liệu ARCH Models for Financial Applications

ARCH Models for
Financial Applications


ARCH Models for Financial Applications Evdokia Xekalaki and Stavros Degiannakis
© 2010 John Wiley & Sons Ltd. ISBN: 978-0-470-06630-0
This edition first published 2010
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Library of Congress Cataloguing-in-Publication Data


Xekalaki, Evdokia.
ARCH models for financial applications / Evdokia Xekalaki, Stavros Degiannakis.
p. cm.
Includes bibliographical references and index.
ISBN 978-0-470-06630-0 (cloth)
1. Finance–Mathematical models. 2. Autoregression (Statistics) I. Degiannakis, Stavros. II. Title.
HG106.X45 2010
332.01’519536–dc22
2009052104


A catalogue record for this book is available from the British Library.


ISBN 978-0-470-06630-0 (H/B)


Set in 10/12pt Times by Thomson Digital, Noida, India
Printed and bound in Great Britain by TJ International, Padstow, Cornwall
To my husband and my son, a wonderful family


Evdokia Xekalaki


To the memory of the most important person in my life, my father Antonis,
and to my mother and my brother


Stavros Degiannakis