Semiparametric ARCH Models
- 1 October 1991
- journal article
- Published by JSTOR in Journal of Business & Economic Statistics
- Vol. 9 (4) , 345
- https://doi.org/10.2307/1391236
Abstract
This article introduces a semiparametric autoregressive conditional heteroscedasticity (ARCH) model that has conditional first and second moments given by autor...Keywords
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