Re: garch modelling software

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Article #584

#584

From: T. Scott Thompson
Date: Tue, 29 Sep 1992 16:47

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ciar04@vaxa.strath.ac.uk writes:

>The literature for ARCH/GARCH is very extensive.  The more important papers
>are:

>3)  Bollerslev, T., Chou R.Y., Kroner, K.F. (1992), "ARCH Modeling in
>    Finance:  A Review of the Theory and Empirical Evidence.", Journal
>    of Econometrics 52, 5-59.

In fact, Journal of Econometrics 52 (1-2) April/May 1992 is entirely
devoted to papers on ARCH modelling in finance.
--
T. Scott Thompson              email:  thompson@atlas.socsci.umn.edu
Department of Economics        phone:  (612) 625-0119
University of Minnesota        fax:    (612) 624-0209

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From: thompson@atlas.socsci.umn.edu (T. Scott Thompson)
Subject: Re: garch modelling software
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Date: Tue, 29 Sep 1992 16:47:39 GMT
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