Conditional Heteroskedasticity in Asset Returns: A New Approach
- 1 March 1991
- journal article
- Published by JSTOR in Econometrica
- Vol. 59 (2) , 347
- https://doi.org/10.2307/2938260
Abstract
GARCH models have been applied in modelling the relation between conditional variance and asset risk premia. These models, however, have at least three major dr...Keywords
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