Recent Advances in ARCH Modelling

Liudas Giraitis (), Remigijus Leipus () and Donatas Surgailis ()
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Liudas Giraitis: University of York
Remigijus Leipus: Vilnius University
Donatas Surgailis: Vilnius Institute of Mathematics and Informatics

A chapter in Long Memory in Economics, 2007, pp 3-38 from Springer

Keywords: Conditional Variance; Stochastic Volatility; GARCH Model; Regime Switching; Stochastic Volatility Model (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-34625-8_1

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DOI: 10.1007/978-3-540-34625-8_1

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