The DOI matches its Crossref record; 100 of the 100 references it cites were found in a registry or an index.
ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING
Abstract
Abstract.The aim of this survey paper is to provide an account of some of the important developments in the autoregressive conditional heteroskedasticity (ARCH) model since its inception in a seminal paper by Engle (1982). This model takes account of many observed properties of asset prices, and therefore, various interpretations can be attributed to it. We start with the basic ARCH models and discuss their different interpretations. ARCH models have been generalized in different directions to accommodate more and more features of the real world. We provide a comprehensive treatment of many of the extensions of the original ARCH model. Next we discuss estimation and testing for ARCH models and note that these models lead to some interesting and unique problems. There have been numerous applications and we mention some of these as we present different models. The paper includes a glossary of the acronyms for the models we describe.
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Citations
Cites
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
White, H. (1980) · Econometrica · doi:10.2307/1912934 · Cited by 25,861
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
Time Series Analysis: Forecasting and Control
Kleiner, B. (1977) · Technometrics · doi:10.1080/00401706.1977.10489562 · Cited by 6,446
A Simple Test for Heteroscedasticity and Random Coefficient Variation
Breusch, T. S., & Pagan, A. R. (1979) · Econometrica · doi:10.2307/1911963 · Cited by 5,647
The Variation of Certain Speculative Prices
Mandelbrot, B. (1963) · The Journal of Business · doi:10.1086/294632 · Cited by 4,747
Multivariate Simultaneous Generalized ARCH
Engle, R. F., & Kroner, K. F. (1995) · Econometric Theory · doi:10.1017/s0266466600009063 · Cited by 4,487
The variation of certain speculative prices
Mandelbrot, B. B. (1997) · Fractals and Scaling in Finance · doi:10.1007/978-1-4757-2763-0_14 · Cited by 4,468
Cited by
Forecasting Volatility in Financial Markets: A Review
Poon, S., & Granger, C. W. J. (2003) · Journal of Economic Literature · doi:10.1257/002205103765762743 · Cited by 1,315
Value‐at‐risk for long and short trading positions
Giot, P., & Laurent, S. (2003) · Journal of Applied Econometrics · doi:10.1002/jae.710 · Cited by 373
Maximum entropy autoregressive conditional heteroskedasticity model
Park, S. Y., & Bera, A. K. (2009) · Journal of Econometrics · doi:10.1016/j.jeconom.2008.12.014 · Cited by 218
Self-citation
Metadata
- Authors
- Bera, A. K., & Higgins, M. L.
- Venue
- Journal of Economic Surveys
- Publisher
- Wiley
- Published
- 1993-12
- Volume
- 7
- Issue
- 4
- Pages
- 305-366
- ISSN
- 0950-0804 (ISSN-L)
- 1467-6419
- OpenAlex
- W2152804254
- Cited by
- 785
- References
- 100
- FWCI
- 21.82
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
