Browsing by Author "Engle, Robert F"
Now showing items 1-3 of 3
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A Capital Asset Pricing Model with Time Varying Covariances
(Journal of Political Economy, 1988) -
ARCH Models
(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 ... -
Common Persistence in Conditional Variances
(Econometrica, 1994)
