Generalized autoregressive conditional heteroscedasticity modelling of hydrologic time series

By Reza Modarres, Taha B. M. J. Ouarda. 2012

445 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/d3d8c71a8d2a16bbfcedb55455e227ecab6c541b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. G. Ali

In Global and Planetary Change

1. G. Ali

Citations in the corpus

• EGARCH, GJR-GARCH, TGARCH, AVGARCH, NGARCH, IGARCH and APARCH Models for Pathogens at Marine Recreational Sites (2013, background): “Bollerslev [2] extended the model to include the ARMA structure.”
• Biofuel-related price transmission literature: A review (2013, unknown): “The introduction of autoregressive conditional heteroscedastic (ARCH)models in the seminal article by Engle (1982) and their subsequent generalization to GARCH models by Bollerslev (1986) has radically changed the way volatility is modeled.”