NYU Stern business school Professor Robert Engle's lecture note on ARCH/GARCH. Prof. Engle is the winner of the Nobel Prize for Economics. In the 1970s and '80s he developed improved mathematical techniques for the evaluation and more-accurate forecasting of risk, which enabled researchers to test if and how volatility in one period was related to volatility in another period. His work had particular relevance in financial market analysis and enabled economists to make more-accurate forecasts.
That is one of lecture notes when Prof. taught the Volatility course at NYU Stern.
295273.pdf
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