ARCH modeling in finance. A review of the theory and empirical evidence

DOI10.1016/0304-4076(92)90064-XzbMath0825.90057OpenAlexW1576326745WikidataQ29039435 ScholiaQ29039435MaRDI QIDQ1185104

Kenneth F. Kroner, Tim Bollerslev, Ray Yeutien Chou

Publication date: 28 June 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90064-x

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

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