Browsing by Author "Engle, Robert F"
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A Capital Asset Pricing Model with Time Varying Covariances Bollerslev, Tim; Engle, Robert F; Wooldridge, Jeffrey M (Journal of Political Economy, 1988)
ARCH Models Bollerslev, Tim; Engle, Robert F; Nelson, Daniel B (1994)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 ...