Reprint of: Generalized autoregressive conditional heteroskedasticity

DOI10.1016/J.JECONOM.2023.02.001MaRDI QIDQ2697962zbMATH OpenOpenAlexFDO

Authors Tim Bollerslev

Publication date 14 April 2023

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2023.02.001

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• ARMA MODELS WITH ARCH ERRORS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• Maximum Likelihood Estimation of Misspecified Models
• On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables

Cited in

(4)

• Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
• Managing distribution changes in time series prediction
• scientific article; zbMATH DE number 3958501 (Why is no real title available?)
• Boosting GARCH and neural networks for the prediction of heteroskedastic time series

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