Some Applications of Univariate ARCH Models
作者： Christian Gouriéroux
DOI: 10.1007/978-1-4612-1860-9_5
关键词: Interpretation (model theory) 、 Threshold model 、 Conditional variance 、 Mathematics 、 Applied mathematics 、 Stochastic differential equation 、 Section (archaeology) 、 Univariate 、 Random walk hypothesis 、 Financial econometrics
摘要: In this chapter, we present several applications of ARCH models proposed in the literature. The discussion covers modelling aspects (sections 1, 4, 5), random walk hypothesis tests (section 3) and interpretation as discrete approximations continuous time 2). We emphasize particular importance these different questions financial econometrics.
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