Publications [#340241] of Tim Bollerslev

Chapters in Books

1. Tim, B, Glossary to ARCH (GARCH), in Volatility and Time Series Econometrics: Essays in Honor of Robert Engle (May, 2010), pp. 137-163, Oxford University Press, ISBN 9780199549498 [doi]
   (last updated on 2024/04/25)

   Abstract:
   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).