Generalized autoregressive conditional heteroskedasticity

Journal of Econometrics

Volumn 31, Issue 3, 1986, Pages 307-327

  Bollerslev, Tim ^a,b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b AARHUS UNIVERSITY   (Denmark)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 42449156579     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(86)90063-1     Document Type: Article

References (21)

1. Estimation inference in nonlinear structural models
2. A simple test for heteroskedastic city and random coefficient variation
3. Aggregate economic activity and the variance of inflation: Another look
4. Conditional variance and the risk premium in the foreign exchange market
5. Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation
6. Estimates of the variance of US inflation based on the ARCH model
7. Multiperiod forecast error variances of inflation estimated from ARCH models
8. Estimation of time varying risk premiums in the term structure
9. Two methods for examining the stability of regression coefficients
10. Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables
11. On the invariance of the Lagrange multiplier test with respect to certain changes in the alternative hypothesis
12. Diagnostic checking ARMA time series models using squared-residual autocorrelations
13. The moment structure of ARCH processes
14. Asymptotic theory for ARCH models: Stability, estimation and testing
15. ARMA models with ARCH errors
16. Maximum likelihood estimation of misspecified models