User’s Guide : Advanced Single Equation Analysis : ARCH and GARCH Estimation : References
  
References
Bollerslev, Tim (1986). “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, 307–327.
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 Jeffrey M. Wooldridge (1992). “Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances,” Econometric Reviews, 11, 143–172.
Ding, Zhuanxin, C. W. J. Granger, and R. F. Engle (1993). “A Long Memory Property of Stock Market Returns and a New Model,” Journal of Empirical Finance, 1, 83–106.
Engle, Robert F. (1982). “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation,” Econometrica, 50, 987–1008.
Engle, Robert F., and Bollerslev, Tim (1986). “Modeling the Persistence of Conditional Variances,” Econometric Reviews, 5, 1–50.
Engle, Robert F., David M. Lilien, and Russell P. Robins (1987). “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model,” Econometrica, 55, 391–407.
Glosten, L. R., R. Jaganathan, and D. Runkle (1993). “On the Relation between the Expected Value and the Volatility of the Normal Excess Return on Stocks,” Journal of Finance, 48, 1779–1801.
Nelson, Daniel B. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica, 59, 347–370.
Schwert, W. (1989). “Stock Volatility and Crash of ‘87,” Review of Financial Studies, 3, 77–102.
Taylor, S. (1986). Modeling Financial Time Series, New York: John Wiley & Sons.
Zakoïan, J. M. (1994). “Threshold Heteroskedastic Models,” Journal of Economic Dynamics and Control, 18, 931-944.