Cookies?
Library Header Image
LSE Research Online LSE Library Services

ARCH models

Linton, Oliver B. (2008) ARCH models. In: Bloom, Lawrence E and Durlauf, Steven N, (eds.) The New Palgrave Dictionary of Economics. Palgrave Macmillan, Hampshire, UK, pp. 205-212. ISBN 9780333786765

Full text not available from this repository.

Abstract

The ARCH model and its many generalizations are very important in analysing discrete time financial data. We review the properties of the original model and discuss many of the subsequent developments.

Item Type: Book Section
Official URL: http://www.palgrave.com/
Additional Information: © 2008 Palgrave Macmillan
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Sets: Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 05 May 2011 12:56
URL: http://eprints.lse.ac.uk/35857/

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only