Patilea, Valentin; Raïssi, Hamdi - In: Journal of the American Statistical Association 109 (2014) 507, pp. 1099-1111
This article considers the volatility modeling for autoregressive univariate time series. A benchmark approach is the stationary autoregressive conditional heteroscedasticity (ARCH) model of Engle. Motivated by real data evidence, processes with nonconstant unconditional variance and ARCH...
