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      Handbook of Financial Time Series 

      Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes

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      Publisher: Springer Berlin Heidelberg

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          Generalized autoregressive conditional heteroskedasticity

          Tim Bollerslev (1986)
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            Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

            Robert F. Engle (1982)
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              Conditional Heteroskedasticity in Asset Returns: A New Approach

              Daniel B. Nelson (1991)
              Article 0 comments Cited 658 times – based on 0 reviews     Review now
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                Book Chapter
                Publication date (Print): 2009
                Publication date (Online): February 10 2009
                Pages: 43-69
                DOI: 10.1007/978-3-540-71297-8_2
                SO-VID: 18b1a3b5-ad45-459c-b190-248664d67c0f
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