Publications [#238009] of Tim Bollerslev

Journal Articles

1. Bollerslev, T, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol. 31 no. 3 (January, 1986), pp. 307-327, Elsevier BV, ISSN 0304-4076 (Reprinted in The International Library of Critical Writings in Econometrics: Time Series (ed. Andrew Harvey), London: Edward Elgar Publishing Limited, 1994. Reprinted in ARCH: Selected Readings (ed. Robert F. Engle), Oxford: Oxford University Press, 1995. Reprinted in Foundations of Probability, Econometrics and Economic Games (eds. O.F. Hamouda and J.C.R. Rowley), London: Edward Elgar Publishing Limited, 1996. Reprinted in Journal of Econometrics, 100th Anniversary Commemorative Issue, Vol.100, No.1, 2001..) [doi]
   (last updated on 2024/04/19)

   Abstract:
   A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived. Maximum likelihood estimation and testing are also considered. Finally an empirical example relating to the uncertainty of the inflation rate is presented. © 1986.