[原创]推荐《ARCH modeling in finance*——A review of the theory and empirical evidence》

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作者是Tim Bollerslev，共55页，个人认为很有价值，很难找。

Although volatility clustering has a long history as a salient empirical regularity characterizing high-frequency speculative prices, it was not until recently that applied researchers in finance have recognized the importance of explicitly modeling time-varying second-order moments. Instrumental in most of these empirical studies has been the Autoregressive Conditional Heteroskedasticity (ARCH) model introduced by Engle (1982). This paper contains an overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial data. Several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies, and the pricing of derivative assets, are also discussed.

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2007-3-6 23:47:00 上传

[原创]推荐《ARCH modeling in finance*——A review of the theory and empirical evidence》
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关键词：Empirical evidence Modeling Finance Financ Finance Theory Modeling evidence ARCH

Google一搜就出来了。

http://www.sciencedirect.com/science?_ob=MImg&_imagekey=B6VC0-458298B-W-1&_cdi=5940&_user=818306&_orig=na&_coverDate=05%2F31%2F1992&_sk=999479998&view=c&wchp=dGLbVzW-zSkWz&md5=eae6f0122ed5308c19a9c0ca06984457&ie=/sdarticle.pdf

楼上不要生气，呵呵，好歹我的十个大钱你是拿到了，让别的穷兄弟们省省荷包吧。

看来是贻笑大方了。上传一个文件竟然花费了20分钟（1兆带宽），以后还是不上传了好，第一避免重蹈覆辙，第二避免数度死机，惊惧以为电脑感染病毒。

google 后还是无法打开呀

以下是引用gujienew在2007-4-9 15:51:00的发言：

google 后还是无法打开呀

需要SD数据库权限的。

Journal of Econometrics 52 (1992) pp.5-59.

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看看

非常感谢楼主，在万维网上是比较难找！

So expensive. But I need it because of my homework.
Please contact me if you want to get it free.

1# 兰特 贵!!!! 但还是买了,没权限啊