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dc.contributor.author Bollerslev, Tim en_US
dc.contributor.author Engle, Robert F. en_US
dc.contributor.author Nelson, Daniel B. en_US
dc.date.accessioned 2010-06-28T18:50:01Z
dc.date.available 2010-06-28T18:50:01Z
dc.date.issued 1994 en_US
dc.identifier.uri http://hdl.handle.net/10161/2551
dc.description.abstract This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univerate parametric ARCH models, general inference procedures, conditions for stationarity and ergodicity, continuous time methods, aggregation and forecasting of ARCH models, multivariate conditional covariance formulations, and the use of model selection criteria in an ARCH context. Additionally, the chapter contains a discussion of the empirical regularities pertaining to the temporal variation in financial market volatility. Motivated in part by recent results on optimal filtering, a new conditional variance model for better characterizing stock return volatility is also presented. en_US
dc.format.extent 374543 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.publisher Handbook of Econometrics en_US
dc.subject Aggregation and forecasting en_US
dc.subject Continuous time methods en_US
dc.subject Multivariate specifications en_US
dc.title ARCH Models en_US
dc.type Journal Article en_US
dc.department Economics

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