ARCH modeling in finance | RDL Research Database

Keywords

Volatility clusteringEconometricsAutoregressive modelHeteroscedasticityVolatility (finance)EconomicsArchEmpirical researchSalientFinancial economicsCapital asset pricing modelAutoregressive conditional heteroskedasticityComputer scienceMathematicsStatistics

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Publication Info

Year: 1992
Type: article
Volume: 52
Issue: 1-2
Pages: 5-59
Citations: 4349
Access: Closed

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APA Style

                            
                                    Tim Bollerslev, 
                                
                                    Ray Yeutien Chou, 
                                
                                    Kenneth F. Kroner
                                
                            (1992). 
                            ARCH modeling in finance. 
                            Journal of Econometrics
                            , 52
                            (1-2)
                            , 5-59.
                            https://doi.org/10.1016/0304-4076(92)90064-x

Identifiers

DOI: 10.1016/0304-4076(92)90064-x