Generalized autoregressive conditional heteroskedasticity
Year of publication: |
1986-09-01
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Authors: | Bollerslev, Tim |
Institutions: | Economics and Econometrics Research Institute (EERI) |
Subject: | GARCH model | time-varying variance |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number EERI RP 1986/01 |
Classification: | C12 - Hypothesis Testing ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing |
Source: |
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