222580.rar
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本附件包括:- Robert Engle_Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.pdf
- Robert Engle_Dynamic Conditional Correlation_A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.pdf
- Robert Engle_GARCH 101_The Use of ARCH-GARCH Models in Applied Econometrics.pdf
- Robert Engle_Risk and Volatility_Econometric Models and Financial Pratice.pdf
- Robert Engle_The Econometrics of Ultra-High-Frequency Data.pdf
ARCH模型创立者、2003诺奖得主Robert Engle几篇关于ARCH的经典论文:
Robert Engle_Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Robert Engle_Dynamic Conditional Correlation_A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
Robert Engle_GARCH 101_The Use of ARCH-GARCH Models in Applied Econometrics
Robert Engle_Risk and Volatility_Econometric Models and Financial Pratice
Robert Engle_The Econometrics of Ultra-High-Frequency Data