ARCH models
Linton, O. B.
(2008).
ARCH models.
In
Bloom, L. E. & Durlauf, S. N.
(Eds.),
The New Palgrave Dictionary of Economics
(pp. 205-212).
Palgrave Macmillan.
https://doi.org/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 | Chapter |
|---|---|
| Copyright holders | © 2008 Palgrave Macmillan |
| Departments |
LSE > Academic Departments > Economics LSE > Research Centres > STICERD LSE > Research Centres > Financial Markets Group |
| DOI | 10.1057/9780230226203.0054 |
| Date Deposited | 05 May 2011 |
| URI | https://researchonline.lse.ac.uk/id/eprint/35857 |