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Generalized autoregressive conditional heteroskedasticity

Journal of Econometrics· 1986-04-01· article· 22,329 citationsgreen

Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Stochastic processes and financial applications

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Tim Bollerslev (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics. https://doi.org/10.1016/0304-4076(86)90063-1

@article{tim1986generalized,
  title  = {Generalized autoregressive conditional heteroskedasticity},
  author = {Bollerslev, Tim},
  year   = {1986},
  journal = {Journal of Econometrics},
  doi    = {10.1016/0304-4076(86)90063-1}
}

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References

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