Stable and tempered stable distributions with volatility clustering - financial applications — Classical financial models which assume homoskedasticity and normality cannot explain stylized phenomena such as skewness, heavy tails, and volatility clustering of the empirical asset returns in finance. In 1963, Benoit Mandelbrot first used the … Wikipedia
Autoregressive conditional heteroskedasticity — ARCH redirects here. For the children s rights organization, see Action on Rights for Children. In econometrics, AutoRegressive Conditional Heteroskedasticity (ARCH) models are used to characterize and model observed time series. They are used… … Wikipedia
Robert F. Engle — Infobox Scientist name = Robert F. Engle caption = A composite picture of Engle image size = 180px birth date = Birth date and age|1942|11|10|mf=y birth place = Syracuse, New York, U.S. nationality = United States field = Economics work places =… … Wikipedia
Robert F. Engle III — An American economist who won the 2003 Nobel Memorial Prize in Economics, along with Clive Granger, for his analysis of time series data with time varying volatility. Time varying volatility is the fluctuation over time of the value of financial… … Investment dictionary
Engle, Robert F. — ▪ American economist born November 1942, Syracuse, New York, U.S. American economist, corecipient of the Nobel Prize for Economics in 2003 for his development of methods for analyzing time series data with time varying volatility. He shared … Universalium
Autoregressive Conditional Heteroskedasticity - ARCH — An econometric term used for observed time series. ARCH models are used to model financial time series with time varying volatility, such as stock prices. The ARCH concept was developed by economist Robert F. Engle, for which he won the 2003… … Investment dictionary
List of Williams College people — Infobox University name = Williams College motto = E liberalitate E. Williams, armigeri established = 1793 type = Private president= Morton Schapiro city = Williamstown state = MA country = USA campus = Rural undergrad = 1,945 postgrad = 59 staff … Wikipedia
Computational finance — Computational finance, also called financial engineering, is a cross disciplinary field which relies on computational intelligence, mathematical finance, numerical methods and computer simulations to make trading, hedging and investment decisions … Wikipedia
Yield curve — This article is about yield curves as used in finance. For the term s use in physics, see Yield curve (physics). Not to be confused with Yield curve spread – see Z spread. The US dollar yield curve as of February 9, 2005. The curve has a typical… … Wikipedia
Model risk — In finance, model risk is the risk involved in using models to value financial securities.[1] Rebonato considers alternative definitions including: After observing a set of prices for the underlying and hedging instruments, different but… … Wikipedia
