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Autoregressive conditional heteroscedasticity: A comparison of ARCH and random coefficient models

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  • Wolff, Christian C. P.

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  • Wolff, Christian C. P., 1988. "Autoregressive conditional heteroscedasticity: A comparison of ARCH and random coefficient models," Economics Letters, Elsevier, vol. 27(2), pages 141-143.
    • Handle: RePEc:eee:ecolet:v:27:y:1988:i:2:p:141-143
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    1. repec:adr:anecst:y:1991:i:24:p:01 is not listed on IDEAS
    2. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
    3. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    4. Sonia Sotoca López, 1994. "Una nota sobre la estimación eficiente de modelos con parámetros cambiantes," Documentos de Trabajo del ICAE 9408, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    5. Gómez-Déniz, E., 2004. "A note on mixture prior distributions with applications in actuarial statistic/Sobre las Distribuciones a Priori Mixtas con Aplicaciones en la Estadística Actuarial," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 22, pages 372(15á)-37, Agosto.
    6. Casals, Jose & Sotoca, Sonia, 1997. "Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs," Economics Letters, Elsevier, vol. 57(3), pages 261-267, December.

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