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GARCH in question ... and as a benchmark

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  • Mansfield, Peter

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  • Mansfield, Peter, 1999. "GARCH in question ... and as a benchmark," International Review of Financial Analysis, Elsevier, vol. 8(1), pages 1-20.
    • Handle: RePEc:eee:finana:v:8:y:1999:i:1:p:1-20
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    References listed on IDEAS

    as
    1. Akaike, Hirotugu, 1981. "Likelihood of a model and information criteria," Journal of Econometrics, Elsevier, vol. 16(1), pages 3-14, May.
    2. repec:bla:jfinan:v:44:y:1989:i:5:p:1115-53 is not listed on IDEAS
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
    5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

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