Author Description

Product Description In the early 1980s, R. F. Engle pioneered the econometric technique of Auto-Regressive Conditional Heteroskedasticity (ARCH), which has subsequently generated a very considerable amount of literature. This collection brings together readings on ARCH models, both applied and theoretical, half by Engle himself and half by other econometricians working in the field. It begins with an introduction by the editor which traces the development of the field. Review `This volume brings together a number of articles which have been important in the development of ARCH models... The articles cover a wide range of topics and include methodological as well as more applied topics... the volume does serve a useful purpose in making accessible these contributions which were originally published in a diverse range of journals. I am sure it will become a frequently consulted addition to many a bookshelf.' The Economic Journal About the Author R. F. Engle, Chair of the Department of Economics, University of California, San Diego.