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Some Applications of Univariate ARCH Models

  • Christian Gouriéroux
Part of the Springer Series in Statistics book series (SSS)

Abstract

In this chapter, we present several applications of ARCH models proposed in the literature. The discussion covers the modelling aspects (sections 1, 4, 5), the random walk hypothesis tests (section 3) and the interpretation of ARCH models as discrete approximations of continuous time models (section 2). We emphasize the particular importance of these different questions in financial econometrics.

Keywords

Stochastic Differential Equation Conditional Variance Threshold Model Arch Model Continuous Time Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1997

Authors and Affiliations

  • Christian Gouriéroux
    • 1
  1. 1.Centre de Recherche en Economie et StatistiqueLaboratoire de Finance-AssuranceMalakoff CedexFrance

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