Issues on ARCH Models and Its Applications

摘要：

ARCH models can measure the variance volatility of financial time series and a series of related models are proposed since the very beginning. In this paper, the literature survey of the development in the ARCH family and their applications are summarized.

关键词： ARCH Models heteroskedasticity uncertainty

作者: LI Wenjing KONG Xinxing

作者单位: School of Business Administration, South China University of Technology, Guangzhou, China,510641

会议类型: 国际会议

会议名称: The 2nd (2010) International Conference on Financial Risk and Corporate Finance Management(第二届(2010)金融风险与公司财务管理国际研讨会FRCFM 2010)

会议地点: 大连

会议语种:英文

页码: 206-209

在线出版日期: 2010-07-01（万方平台首次上网日期，不代表论文的发表时间）