Verbeek, Marno - In: Applied Econometrics 8 (2007) 4, pp. 125-132
Models of Autoregressive Conditional Heteroscedasticity (ARCH) and their generalizations are widely used in ap-plied econometric research, especially for analysis of financial markets. We bring to our reader’s attention a consul-tation on this topic prepared from the book of Marno Verbeek “A...