Springer Estimation In Conditionally Heteroscedastic Time Series Models

Name: Springer Estimation In Conditionally Heteroscedastic Time Series Models
Brand: Springer
SKU: uxQmu0wWx1zks-olvBM

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Description

In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been repla...