Reprint of: Generalized autoregressive conditional heteroskedasticity

DOI10.1016/J.JECONOM.2023.02.001OpenAlexW4324053837MaRDI QIDQ2697962

Tim Bollerslev

Publication date: 14 April 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.02.001

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

Managing distribution changes in time series prediction ⋮ Boosting GARCH and neural networks for the prediction of heteroskedastic time series

Cites Work

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• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• ARMA MODELS WITH ARCH ERRORS
• On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• Maximum Likelihood Estimation of Misspecified Models

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