User’s Guide : Advanced Single Equation Analysis : ARCH and GARCH Estimation : References
  
References
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Bollerslev, Tim, Ray Y. Chou, and Kenneth F. Kroner (1992). “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence,” Journal of Econometrics, 52, 5–59.
Bollerslev, Tim, Robert F. Engle and Daniel B. Nelson (1994). “ARCH Models,” Chapter 49 in Robert F. Engle and Daniel L. McFadden (eds.), Handbook of Econometrics, Volume 4, Amsterdam: Elsevier Science B.V.
Bollerslev, Tim and Mikkelsen, Hans Ole (1996). “Modeling and pricing long memory stock market volatility,” Journal of Econometrics, 73, 151–184.
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