Recursive Statistical Analysis of the GARCH (1,1) Process for Stock Prices

Felix Chan; Michael Mcaleer

Recursive Statistical Analysis of the GARCH (1,1) Process for Stock Prices

Felix Chan, Michael Mcaleer

Graduate Research School

Research output: Chapter in Book/Conference paper › Conference paper › peer-review

Original language	English
Title of host publication	Proceedings of the International Congress on Modelling & Simulation
Editors	F. Ghessemi, M. McAleer, L. Oxley, M. Scoccimarro
Place of Publication	Western Australia
Publisher	Modelling and Simulation Society of Australia and New Zealand Inc.
Pages	1311-1316
Volume	3
Edition	ANU, Canberra
ISBN (Print)	0867405252
Publication status	Published - 2001
Event	Recursive Statistical Analysis of the GARCH (1,1) Process for Stock Prices - ANU, Canberra Duration: 1 Jan 2001 → …

Conference

Conference	Recursive Statistical Analysis of the GARCH (1,1) Process for Stock Prices
Period	1/01/01 → …

Cite this

Chan, Felix ; Mcaleer, Michael. / Recursive Statistical Analysis of the GARCH (1,1) Process for Stock Prices. Proceedings of the International Congress on Modelling & Simulation. editor / F. Ghessemi ; M. McAleer ; L. Oxley ; M. Scoccimarro. Vol. 3 ANU, Canberra. ed. Western Australia : Modelling and Simulation Society of Australia and New Zealand Inc., 2001. pp. 1311-1316

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title = "Recursive Statistical Analysis of the GARCH (1,1) Process for Stock Prices",

author = "Felix Chan and Michael Mcaleer",

year = "2001",

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booktitle = "Proceedings of the International Congress on Modelling & Simulation",

publisher = "Modelling and Simulation Society of Australia and New Zealand Inc.",

edition = "ANU, Canberra",

note = "Recursive Statistical Analysis of the GARCH (1,1) Process for Stock Prices ; Conference date: 01-01-2001",

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Chan, F & Mcaleer, M 2001, Recursive Statistical Analysis of the GARCH (1,1) Process for Stock Prices. in F Ghessemi, M McAleer, L Oxley & M Scoccimarro (eds), Proceedings of the International Congress on Modelling & Simulation. ANU, Canberra edn, vol. 3, Modelling and Simulation Society of Australia and New Zealand Inc., Western Australia, pp. 1311-1316, Recursive Statistical Analysis of the GARCH (1,1) Process for Stock Prices, 1/01/01.

Recursive Statistical Analysis of the GARCH (1,1) Process for Stock Prices. / Chan, Felix; Mcaleer, Michael.
Proceedings of the International Congress on Modelling & Simulation. ed. / F. Ghessemi; M. McAleer; L. Oxley; M. Scoccimarro. Vol. 3 ANU, Canberra. ed. Western Australia: Modelling and Simulation Society of Australia and New Zealand Inc., 2001. p. 1311-1316.

Research output: Chapter in Book/Conference paper › Conference paper › peer-review

TY - GEN

T1 - Recursive Statistical Analysis of the GARCH (1,1) Process for Stock Prices

AU - Chan, Felix

AU - Mcaleer, Michael

PY - 2001

Y1 - 2001

M3 - Conference paper

SN - 0867405252

VL - 3

SP - 1311

EP - 1316

BT - Proceedings of the International Congress on Modelling & Simulation

A2 - Ghessemi, F.

A2 - McAleer, M.

A2 - Oxley, L.

A2 - Scoccimarro, M.

PB - Modelling and Simulation Society of Australia and New Zealand Inc.

CY - Western Australia

T2 - Recursive Statistical Analysis of the GARCH (1,1) Process for Stock Prices

Y2 - 1 January 2001

ER -