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      Fractionally integrated generalized autoregressive conditional heteroskedasticity

      Author(s): , ,
      Publication date Created:
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      Journal: Journal of Econometrics
      Publisher: Elsevier BV

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          Generalized autoregressive conditional heteroskedasticity

          Tim Bollerslev (1986)
          Article 0 comments Cited 1551 times – based on 0 reviews     Review now
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            Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

            Robert F. Engle (1982)
            Article 0 comments Cited 1418 times – based on 0 reviews     Review now
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              Conditional Heteroskedasticity in Asset Returns: A New Approach

              Daniel B. Nelson (1991)
              Article 0 comments Cited 657 times – based on 0 reviews     Review now
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                Author and article information

                Journal
                Title: Journal of Econometrics
                Abbreviated Title: Journal of Econometrics
                Publisher: Elsevier BV
                ISSN (Print): 03044076
                Publication date Created: September 1996
                Publication date (Print): September 1996
                Volume: 74
                Issue: 1
                Pages: 3-30
                Article
                DOI: 10.1016/S0304-4076(95)01749-6
                SO-VID: b58481f3-1b8b-4393-bd81-823fb98bf406
                Copyright © © 1996
                License:

                http://www.elsevier.com/tdm/userlicense/1.0/

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