Periodic autoregressive conditional heteroscedasticity

Journal of Business and Economic Statistics

Volumn 14, Issue 2, 1996, Pages 139-151

  Bollerslev, Tim ^a,b   Ghysels, Eric ^c,d  

^a UNIVERSITY OF VIRGINIA   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c UNIVERSITÉ DE MONTRÉAL   (Canada)

^d CIRANO   (Canada)

Author keywords

ARCH; Exchange rates; P GARCH; Periodic structures; Seasonality; Volatility clustering

Indexed keywords

EID: 0030530241     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1996.10524640     Document Type: Article

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