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.
Identification Number: 10.1057/9780230226203.0054


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:
Additional Information: © 2008 Palgrave Macmillan
Divisions: Economics
Financial Markets Group
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 05 May 2011 12:56
Last Modified: 06 Sep 2021 23:36

Actions (login required)

View Item View Item