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Volatility and Time Series EconometricsEssays in Honor of Robert Engle$
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Tim Bollerslev, Jeffrey Russell, and Mark Watson

Print publication date: 2010

Print ISBN-13: 9780199549498

Published to Oxford Scholarship Online: May 2010

DOI: 10.1093/acprof:oso/9780199549498.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 23 September 2021

Glossary to ARCH (GARCH * )

Glossary to ARCH (GARCH * )

Chapter:
(p.137) 8 Glossary to ARCH (GARCH*)
Source:
Volatility and Time Series Econometrics
Author(s):

Bollerslev Tim

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199549498.003.0008

This chapter provides an alternative and easy-to-use encyclopedic-type reference guide to the long list of ARCH acronyms. Comparing the length of this list to the list of general Acronyms in Time Series Analysis (ATSA) compiled by Granger (1983) further underscores the scope of the research efforts and new developments that have occurred in the area following the introduction of the basic linear ARCH model in Engle (1982a).

Keywords:   ARCH model, Robert Engle, glossary, ARCH acronyms

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