Autoregressive conditional heteroscedasticity: a comparison of ARCH and random coefficient models

DOI10.1016/0165-1765(88)90086-9zbMath1328.62540OpenAlexW2118797768WikidataQ126339291 ScholiaQ126339291MaRDI QIDQ900134

Christian C. P. Wolff

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(88)90086-9

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (5)

Random autoregressive models: A structured overview ⋮ Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs ⋮ ARCH modeling in finance. A review of the theory and empirical evidence ⋮ On the relation between GARCH and stable processes ⋮ Unnamed Item

Cites Work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Some Estimators for a Linear Model with Random Coefficients

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