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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| Format: | Electronic eBook |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg,
2005.
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| Series: | Lecture Notes in Statistics,
181 |
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| Online Access: | Full Text via HEAL-Link |
