Glossary to ARCH (GARCH)

Book Section

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).

Full Text

Duke Authors

Cited Authors

  • Tim, B

Published Date

  • May 1, 2010

Book Title

  • Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

International Standard Book Number 13 (ISBN-13)

  • 9780199549498

Digital Object Identifier (DOI)

  • 10.1093/acprof:oso/9780199549498.003.0008

Citation Source

  • Scopus