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20062025
most citedStatistical inference for time-varying ARCH processes

254 citations · 420 across the 12 of their papers we have counts for

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math.ST2008★ 51 cited

Normalized least-squares estimation in time-varying ARCH models

Piotr Fryzlewicz, Theofanis Sapatinas, Suhasini Subba Rao

We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared returns often observ…