经典论文 GARCH 做论文必看 [推广有奖]

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祥云之南(未真实交易用户) 发表于 2007-3-25 00:43:00

姜太公钓鱼，愿者上钩？

12楼

neverfound(未真实交易用户) 发表于 2007-9-11 20:09:00

太贵了，老兄，能否打折啊，学生来着

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CureShow(真实交易用户) 发表于 2007-10-5 18:48:00

这方面的资料很多，你也要突出你材料的重要性才有人买呀！

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CureShow(真实交易用户) 发表于 2007-10-6 09:53:00

原来是当年那片经典的原创论文，虽然花钱了，但是至少帮助其他人知道内容了

GENERALIZED AUTOREGRESSIVE CONDITIONAL
HETEROSKEDASTICITY
Tim BOLLERSLEV*
University of California at San Diego, La Jolla, CA 92093, USA
Institute of Economics, University of Aarhus, Denmark
Received May 1985, final version received February 1986
A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process
introduced in Engle (1982) to allow for past conditional variances in the current conditional
variance equation is proposed. Stationarity conditions and autocorrelation structure for this new
class of parametric models are derived. Maximum likelihood estimation and testing are also
considered. Finally an empirical example relating to the uncertainty of the inflation rate is
presented.