1.

文献名： Asset pricing with a factor ARCH covariance structure:empirical estimates for treasury bills

作者：Engle,Ng,Rothschild

期刊：Journal of Econometrics

卷号及页码：1990,45:213-238.

2.

文献名: Autoregressive Conditional Heterscedasticity with Estimates of the Variance of United Kingdom Inflations

作者:Engle,R.F.

期刊:Econometrica

卷号及页码：1982,50:987-1008.

3.

文献名: Conditional heteroskedasticity in asset returns: a new approach

作者:　Nelson D B.

期刊:Econometrica,

卷号及页码：1991, 59: 347-370.

 

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