Journal of Financial and Quantitative Analysis · 1996 · 331 citations · 23 references
BusinessEconomicsFinanceEconometricsFinancial EconomicsTime Series AnalysisAsset Pricing EmpiricsAsset Return ModelingInterest Rate DeterminationInterest Rate ModelingVolatility AnalysisVolatility ModelingCorrelationGeneralized Autoregressive Conditional Heteroskedasticity ModelsInterest Rate Volatility ModelingSerial CorrelationTime Series Volatility ModelingTime-varying Volatility DynamicsTime-varying Volatility Models
Robin J. Brenner, Richard H. Harjes, Kenneth F. Kroner, Another Look at Models of the Short-Term Interest Rate, The Journal of Financial and Quantitative Analysis, Vol. 31, No. 1 (Mar., 1996), pp. 85-107
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
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