A Guide to Modern Econometrics

Marno Verbeek

Applied Econometrics, 2007, vol. 8, issue 4, 125-132

Abstract: Models of Autoregressive Conditional Heteroscedasticity (ARCH) and their generalizations are widely used in ap-plied econometric research, especially for analysis of financial markets. We bring to our reader’s attention a consul-tation on this topic prepared from the book of Marno Verbeek “A Guide to Modern Econometrics” appearing soon in the Publishing House “Nauchnaya Kniga”

Keywords: ARCH; models (search for similar items in EconPapers)
JEL-codes: C01 C20 C30 (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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