# ARCH

## Papers overview

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Review

2018

Review

2018

- 2018

Although volatility clustering has a long history as a salient empirical regularity characterizing high-frequency speculativeâ€¦Â (More)

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Highly Cited

2006

Highly Cited

2006

- 2006

In this paper the class of ARCH(âˆž) models is generalized to the nonstationary class of ARCH(âˆž) models with time-varyingâ€¦Â (More)

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2004

2004

- 2004

Asymptotic inference for the ARCH(1) and more general ARCH models, including GARCH models, has been studied in, e.g., Weiss (1986â€¦Â (More)

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2003

2003

- 2003

Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide classâ€¦Â (More)

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Highly Cited

2001

Highly Cited

2001

- 2001

A â€˜long memoryâ€™ property of stock market returns is investigated in this paper. It is found that not only there is substantiallyâ€¦Â (More)

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Highly Cited

2001

Highly Cited

2001

- 2001

In this paper we suggest using the FACTOR-ARCH model as a parsimonious structure for the conditional covariance matrix of assetâ€¦Â (More)

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Highly Cited

2001

Highly Cited

2001

- 2001

Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.orgâ€¦Â (More)

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Highly Cited

2001

Highly Cited

2001

- 2001

This paper investigates the asymptotic theory for a vector ARMA-GARCH model. The conditions for the strict stationarityâ€¦Â (More)

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2001

2001

- 2001

Assuming that daily spot exchange rates follow a martingale process. we derive the implied time series process for the vector ofâ€¦Â (More)

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2001

2001

- 2001

We derive the asymptotic distribution of the sequential empirical process of the squared residuals of an ARCH(p) sequence. Unlikeâ€¦Â (More)

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