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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

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Identification Number: 10.1057/9780230226203.0054

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
Divisions: Economics
STICERD
Financial Markets Group
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 05 May 2011 12:56
Last Modified: 13 Sep 2024 17:01
URI: http://eprints.lse.ac.uk/id/eprint/35857

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