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An Approximation to GARCH

Published online by Cambridge University Press:  11 February 2009

John L. Knight  and
Stephen E. Satchel
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Abstract

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Type
Problems
Information
Econometric Theory , Volume 11 , Issue 1 , February 1995 , pp. 191 - 192
Copyright
Copyright © Cambridge University Press 1995

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References

REFERENCE

Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 307–327.CrossRefGoogle Scholar