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Generalized autoregressive conditional heteroskedasticity
Journal of Econometrics · 1986 · Vol. 31(3) · pp. 307–327
Tim Bollerslev✉(University of California, San Diego)
Monetary Policy and Economic ImpactFinancial Risk and Volatility ModelingMarket Dynamics and VolatilityConditional varianceHeteroscedasticityAutoregressive conditional heteroskedasticityEconometricsMathematicsAutoregressive modelAutocorrelationGeneralizationStatisticsConditional probability distribution
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References
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Econometrica · 1982 · 20,395 citations
Maximum Likelihood Estimation of Misspecified Models
Econometrica · 1983 · 3,751 citations
A Simple Test for Heteroscedasticity and Random Coefficient Variation
Econometrica · 1979 · 5,248 citations
Forecasting Economic Time Series
The Economic Journal · 2000 · 1,797 citations
Time Series Analysis: Forecasting and Control
Journal of Marketing Research · 1977 · 19,299 citations
Forecasting Economic Time Series
Journal of the Operational Research Society · 1979 · 1,017 citations
Maximum Likelihood Estimation of Misspecified Models
Econometrica · 1982 · 4,060 citations
Time Series Analysis: Forecasting and Control
Technometrics · 1977 · 2,723 citations
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