Conditional Heteroskedasticity in Asset Returns: A New Approach
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Publication:3210032
DOI10.2307/2938260zbMath0722.62069OpenAlexW1999814123MaRDI QIDQ3210032
Publication date: 1991
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2938260
nonlinear time seriesmarket volatilityconditional varianceGARCH modelsautoregressive conditional heteroskedasticitygeneralized autoregressive conditional heteroskedasticityasset pricing applicationsasset risk premiaexponential ARCH
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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