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ARCH modeling in finance

Journal of Econometrics · 1992 · Vol. 52(1-2) · pp. 5–59

Tim Bollerslev✉(Northwestern University)Ray Yeutien Chou(Georgia Institute of Technology)Kenneth F. Kroner(University of Arizona)

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Market Dynamics and VolatilityVolatility clusteringEconometricsAutoregressive modelHeteroscedasticityVolatility (finance)EconomicsArchEmpirical researchSalientFinancial economics

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References

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Journal of Financial Economics · 1985 · 6,279 citations

ARCH models as diffusion approximations

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A Capital Asset Pricing Model with Time-Varying Covariances

Journal of Political Economy · 1988 · 3,202 citations

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

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