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Estimation in Conditionally Heteroscedastic Time Series Models
In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been repla...
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| Lenguaje: | eng |
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Springer
2006
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| Acceso en línea: | https://dx.doi.org/10.1007/b138400 http://cds.cern.ch/record/1413596 |