A Guide to Modern Econometrics
AbstractModels of Autoregressive Conditional Heteroscedasticity (ARCH) and their generalizations are widely used in ap-plied econometric research, especially for analysis of financial markets. We bring to our reader’s attention a consul-tation on this topic prepared from the book of Marno Verbeek “A Guide to Modern Econometrics” appearing soon in the Publishing House “Nauchnaya Kniga”
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Bibliographic InfoArticle provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.
Volume (Year): 8 (2007)
Issue (Month): 4 ()
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Web page: http://appliedeconometrics.cemi.rssi.ru/
Find related papers by JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
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"Modeling Volatility Dynamics,"
_062, University of Pennsylvania.
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- Wan, Alan T.K. & Zhang, Xinyu & Wang, Shouyang, 2014. "Frequentist model averaging for multinomial and ordered logit models," International Journal of Forecasting, Elsevier, vol. 30(1), pages 118-128.
- Mathieu Gatumel & Dominique Guegan, 2008. "Dynamic Analysis of the Insurance Linked Securities Index," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00320378, HAL.
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