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Autoregressive conditional heteroskedasticity and changes in regime
Journal of Econometrics · 1994 · Vol. 64(1-2) · pp. 307–333
James D. Hamilton✉(University of California, San Diego)Raúl Susmel(University of Houston)
Financial Risk and Volatility ModelingComplex Systems and Time Series AnalysisMarket Dynamics and VolatilityEconometricsVolatility (finance)HeteroscedasticityAutoregressive conditional heteroskedasticityAutoregressive modelMarkov chainEconomicsStock (firearms)ArchMathematics
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References
ARCH modeling in finance
Journal of Econometrics · 1992 · 4,361 citations
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Econometrica · 1982 · 20,395 citations
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
The Review of Economics and Statistics · 1987 · 2,583 citations
Conditional Heteroskedasticity in Asset Returns: A New Approach
Econometrica · 1991 · 10,302 citations
Generalized autoregressive conditional heteroskedasticity
Journal of Econometrics · 1986 · 22,015 citations
Dynamic linear models with Markov-switching
Journal of Econometrics · 1994 · 1,459 citations
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
The Journal of Finance · 1993 · 8,606 citations
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Econometrica · 1989 · 9,528 citations
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