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171588.rar
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</p><p>Multivariate Simultaneous Generalized Arch</p><p>Robert F. Engle; Kenneth F. Kroner</p><p>Econometric Theory, Vol. 11, No. 1. (Mar., 1995), pp. 122-150.</p><p>&nbsp; </p><p>Adaptive Estimation in Arch Models</p><p>Oliver Linton</p><p>Econometric Theory, Vol. 9, No. 4. (Dec., 1993), pp. 539-569.</p><p>&nbsp; </p><p>Whittle Estimation of ARCH Models</p><p>Liudas Giraitis; Peter M. Robinson</p><p>Econometric Theory, Vol. 17, No. 3. (Jun., 2001), pp. 608-631.</p><p>&nbsp; &nbsp;</p><p>Threshold Arch Models and Asymmetries in Volatility</p><p>R. Rabemananjara; J. M. Zakoian</p><p>Journal of Applied Econometrics, Vol. 8, No. 1. (Jan. - Mar., 1993), pp. 31-49.</p><p>&nbsp; </p><p>Testing for Arch in the Presence of Additive Outliers</p><p>Dick van Dijk; Philip Hans Franses; André Lucas</p><p>Journal of Applied Econometrics, Vol. 14, No. 5. (Sep. - Oct., 1999), pp. 539-562.</p><p>&nbsp; </p><p>An Empirical Analysis of Alternative Parametric ARCH Models</p><p>Geoffrey F. Loudon; Wing H. Watt; Pradeep K. Yadav</p><p>Journal of Applied Econometrics, Vol. 15, No. 2. (Mar. - Apr., 2000), pp. 117-136.</p><p>&nbsp; </p><p>Asymptotically Optimal Smoothing with Arch Models</p><p>Daniel B. Nelson</p><p>Econometrica, Vol. 64, No. 3. (May, 1996), pp. 561-573.</p><p>&nbsp; </p><p>Asymptotic Filtering Theory for Univariate Arch Models</p><p>Daniel B. Nelson; Dean P. Foster</p><p>Econometrica, Vol. 62, No. 1. (Jan., 1994), pp. 1-41.</p><p>&nbsp; </p><p>Asymptotic Theory for ARCH Models: Estimation and Testing</p><p>Andrew A. Weiss</p><p>Econometric Theory, Vol. 2, No. 1. (Apr., 1986), pp. 107-131.</p><p>&nbsp; </p><p>Strong Consistency of Estimators for Multivariate Arch Models</p><p>Thierry Jeantheau</p><p>Econometric Theory, Vol. 14, No. 1. (Feb., 1998), pp. 70-86.</p><p>&nbsp; </p><p>ARCH模型(Autoregressive conditional heteroskedasticity model)全称“自回归条件异方差模型”,解决了传统的计量经济学对时间序列变量的第二个假设所引起的问题。这个模型是获得2003年诺贝尔经济学奖的计量经济学成果之一。</p><p>&nbsp; </p><p>传统的计量经济学对时间序列变量的第二个假设:假定时间序列变量的波动幅度(方差)是固定的,不符合实际,比如,人们早就发现股票收益的波动幅度是随时间而变化的,并非常数。这使得传统的时间序列分析对实际问题并不有效。</p><p>&nbsp; </p><p>罗伯特·恩格尔在1982年发表在《计量经济学》杂志(Econometrica)的一篇论文中提出了ARCH模型解决了时间序列的波动性(volatility)问题,当时他研究的是英国通货膨胀率的波动性。</p><p>&nbsp; </p><p>ARCH模型能准确地模拟时间序列变量的波动性的变化,它在金融工程学的实证研究中应用广泛,使人们能更加准确地把握风险(波动性),尤其是应用在风险价值(Value at Risk)理论中,在华尔街是尽人皆知的工具。</p><p>&nbsp; </p><p>&nbsp; </p><p>【典藏下载系列2】世界顶尖计量经济学著作集锦:</p><p>&nbsp; </p><p>http://www.pinggu.org/bbs/thread-257614-1-1.html</p>
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