Journal of Econometrics · 1996 · 2.3K citations · 81 references
BusinessFinanceEconometricsFinancial EconometricsTime Series AnalysisCointegration AnalysisTime Series ForecastingVolatility ModelingArch ModelsConditional Heteroskedasticity ModelsGeneralized Autoregressive Conditional Heteroskedasticity Models
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Generalized autoregressive conditional heteroskedasticity
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