Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - In: Handbook of econometrics : volume 4, (pp. 2959-3038). 1994
This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univariate parametric ARCH models, general inference procedures, conditions for stationarity and ergodicity, continuous time...