Glossary to ARCH (GARCH*)

Bollerslev Tim

in Volatility and Time Series Econometrics

Published in print March 2010 | ISBN: 9780199549498
Published online May 2010 | e-ISBN: 9780191720567 | DOI:

Series: Advanced Texts in Econometrics

 Glossary to ARCH (GARCH*)

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This chapter provides an alternative and easy-to-use encyclopedic-type reference guide to the long list of ARCH acronyms. Comparing the length of this list to the list of general Acronyms in Time Series Analysis (ATSA) compiled by Granger (1983) further underscores the scope of the research efforts and new developments that have occurred in the area following the introduction of the basic linear ARCH model in Engle (1982a).

Keywords: ARCH model; Robert Engle; glossary; ARCH acronyms

Chapter.  13446 words. 

Subjects: Econometrics and Mathematical Economics

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