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ARCH Models (ICPSR 1095) RSS

Principal Investigator(s):

Summary:

These data and/or computer programs are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the INVESTIGATOR(S) if further information is desired.

Access Notes

  • These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

  • These data are freely available.

Dataset(s)

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Data:

Study Description

Citation

Bollerslef, T., R.F. Engle, and D.B. Nelson. ARCH Models. ICPSR01095-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 1996-01-03. http://doi.org/10.3886/ICPSR01095.v1

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Scope of Study

Data Collection Notes:

The authors indicate that NSF waived the requirement that they provide the data, since the data did not belong to them. The data are available from: Professor G. William Schwert, William E. Simon Graduate School of Business Administration, University of Rochester, Rochester, New York 14627.

Methodology

Version(s)

Original ICPSR Release:  

Related Publications

    1994
    (author unknown) . ARCH models. The Handbook of Econometrics. Amsterdam: Elsevier.
    Export Options: RIS/EndNote

Utilities

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