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

DOI10.1016/0165-1765(88)90086-9MaRDI QIDQ900134zbMATH OpenOpenAlexWikidataFDO

Authors C. 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)

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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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(11)

• A simple multivariate ARCH model specified by random coefficients
• 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
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