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: | 11 Dec 2024 17:16 |
| URI: | http://eprints.lse.ac.uk/id/eprint/35857 |
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