An Introduction to Univariate GARCH Models

DOI10.1007/978-3-540-71297-8_1zbMath1178.62104OpenAlexW2149184771MaRDI QIDQ3646947

Timo Teräsvirta

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: http://swopec.hhs.se/hastef/papers/hastef0646.pdf

zbMATH Keywords

semiparametric modelsMarkov switchingnonparametric modelsgeneralized ARCH modelsthreshold GARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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