ARCH

A structure with a curved or bowlike outline.
National Institutes of Health

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Review
2018
Review
2018
Although volatility clustering has a long history as a salient empirical regularity characterizing high-frequency speculative… (More)
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Highly Cited
2006
Highly Cited
2006
In this paper the class of ARCH(∞) models is generalized to the nonstationary class of ARCH(∞) models with time-varying… (More)
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2004
2004
Asymptotic inference for the ARCH(1) and more general ARCH models, including GARCH models, has been studied in, e.g., Weiss (1986… (More)
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2003
2003
Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class… (More)
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Highly Cited
2001
Highly Cited
2001
A ‘long memory’ property of stock market returns is investigated in this paper. It is found that not only there is substantially… (More)
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Highly Cited
2001
Highly Cited
2001
In this paper we suggest using the FACTOR-ARCH model as a parsimonious structure for the conditional covariance matrix of asset… (More)
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Highly Cited
2001
Highly Cited
2001
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org… (More)
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Highly Cited
2001
Highly Cited
2001
This paper investigates the asymptotic theory for a vector ARMA-GARCH model. The conditions for the strict stationarity… (More)
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2001
2001
Assuming that daily spot exchange rates follow a martingale process. we derive the implied time series process for the vector of… (More)
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2001
2001
We derive the asymptotic distribution of the sequential empirical process of the squared residuals of an ARCH(p) sequence. Unlike… (More)
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