Conditional Heteroskedasticity in Asset Returns: A New Approach (Q3210032): Difference between revisions
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Latest revision as of 18:20, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditional Heteroskedasticity in Asset Returns: A New Approach |
scientific article |
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Conditional Heteroskedasticity in Asset Returns: A New Approach (English)
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1991
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autoregressive conditional heteroskedasticity
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generalized autoregressive conditional heteroskedasticity
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exponential ARCH
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market volatility
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nonlinear time series
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GARCH models
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conditional variance
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asset risk premia
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asset pricing applications
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