Chú thích ARCH

    • Bollerslev, Tim (1986). "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 31:307-327
    • Bollerslev, Tim (2008). Glossary to ARCH (GARCH), working paper
    • Enders, W. (1995). Applied Econometrics Time Series, John-Wiley & Sons, 139-149, ISBN 0471111635
    • Engle, Robert F. (1982). "Autoregressive Conditional Heteroscedasticity with Estimates of Variance of United Kingdom Inflation", Econometrica 50:987-1008. (the paper which sparked the general interest in ARCH models)
    • Engle, Robert F. (2001). "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics", Journal of Economic Perspectives 15(4):157-168. (a short, readable introduction) Preprint
    • Engle, R.F. (1995) ARCH: selected readings. Oxford University Press. ISBN 0-19-877432-X
    • Gujarati, D. N. (2003) Basic Econometrics, 856-862
    • Hacker, R. S. and Hatemi-J, A. (2005). A Test for Multivariate ARCH Effects, Applied Economics Letters, 12(7), 411–417.
    • Nelson, D. B. (1991). "Conditional heteroskedasticity in asset returns: A new approach", Econometrica 59: 347-370.

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