The story of GARCH: A personal odyssey
Publication
, Journal Article
Bollerslev, T
Published in: Journal of Econometrics
March 1, 2023
I provide a brief history of the origins of the GARCH model and my 1986 paper published in the Journal, along with a discussion of how the GARCH model and applications thereof have flourished since then. I also briefly highlight connections to the more recent realized volatility literature.
Duke Scholars
Published In
Journal of Econometrics
DOI
EISSN
1872-6895
ISSN
0304-4076
Publication Date
March 1, 2023
Volume
234
Start / End Page
96 / 100
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics
Citation
APA
Chicago
ICMJE
MLA
NLM
Bollerslev, T. (2023). The story of GARCH: A personal odyssey. Journal of Econometrics, 234, 96–100. https://doi.org/10.1016/j.jeconom.2023.01.015
Bollerslev, T. “The story of GARCH: A personal odyssey.” Journal of Econometrics 234 (March 1, 2023): 96–100. https://doi.org/10.1016/j.jeconom.2023.01.015.
Bollerslev T. The story of GARCH: A personal odyssey. Journal of Econometrics. 2023 Mar 1;234:96–100.
Bollerslev, T. “The story of GARCH: A personal odyssey.” Journal of Econometrics, vol. 234, Mar. 2023, pp. 96–100. Scopus, doi:10.1016/j.jeconom.2023.01.015.
Bollerslev T. The story of GARCH: A personal odyssey. Journal of Econometrics. 2023 Mar 1;234:96–100.
Published In
Journal of Econometrics
DOI
EISSN
1872-6895
ISSN
0304-4076
Publication Date
March 1, 2023
Volume
234
Start / End Page
96 / 100
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics