-
2
-
-
42449156579
-
Generalised autoregressive conditional heteroskedasticity
-
Bollerslev T. Generalised autoregressive conditional heteroskedasticity. Journal of Econometrics. 31:1986;307-327.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
3
-
-
0000375581
-
A conditional heteroskedastic time series model for speculative prices and rates of returns
-
Bollerslev T. A conditional heteroskedastic time series model for speculative prices and rates of returns. Review of Economics and Statistics. 69:1987;542-547.
-
(1987)
Review of Economics and Statistics
, vol.69
, pp. 542-547
-
-
Bollerslev, T.1
-
4
-
-
70349218800
-
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
-
Bollerslev T., Wooldridge J.M. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews. 11:1992;143-179.
-
(1992)
Econometric Reviews
, vol.11
, pp. 143-179
-
-
Bollerslev, T.1
Wooldridge, J.M.2
-
5
-
-
70350121603
-
ARCH models
-
In: Engle, R.F., McFadden, D.L. (Eds.), Elsevier, Amsterdam
-
Bollerslev, T., Engle, R.F., Nelson, D.B., 1994. ARCH models. In: Engle, R.F., McFadden, D.L. (Eds.), Handbook of Econometrics, vol. 4, Elsevier, Amsterdam, pp. 2959-3037.
-
(1994)
Handbook of Econometrics
, vol.4
, pp. 2959-3037
-
-
Bollerslev, T.1
Engle, R.F.2
Nelson, D.B.3
-
6
-
-
0002733510
-
Stock market volatility and the information content of stock index options
-
Day T.E., Lewis C.M. Stock market volatility and the information content of stock index options. Journal of Econometrics. 52:1992;267-287.
-
(1992)
Journal of Econometrics
, vol.52
, pp. 267-287
-
-
Day, T.E.1
Lewis, C.M.2
-
7
-
-
84993867978
-
How markets process information: News releases and volatility
-
Ederington L.H., Lee J.H. How markets process information: News releases and volatility. Journal of Finance. 48:1993;1161-1191.
-
(1993)
Journal of Finance
, vol.48
, pp. 1161-1191
-
-
Ederington, L.H.1
Lee, J.H.2
-
8
-
-
0000642051
-
The quality of market volatility forecasts implied by S&P100 index option prices
-
Fleming J. The quality of market volatility forecasts implied by S&P100 index option prices. Journal of Empirical Finance. 5:1998;317-345.
-
(1998)
Journal of Empirical Finance
, vol.5
, pp. 317-345
-
-
Fleming, J.1
-
9
-
-
0039084784
-
Stock return variances: The arrival of information and the reaction of traders
-
French K., Roll R. Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics. 17:1986;5-26.
-
(1986)
Journal of Financial Economics
, vol.17
, pp. 5-26
-
-
French, K.1
Roll, R.2
-
10
-
-
0002188669
-
On fitting a recalcitrant series: The pound/dollar exchange rate 1974-1983
-
W.A. Barnett, J. Powell, & G.E. Tauchen. Cambridge: Cambridge University Press
-
Gallant A.R., Hsieh D.A., Tauchen G.E. On fitting a recalcitrant series: The pound/dollar exchange rate 1974-1983. Barnett W.A., Powell J., Tauchen G.E. Non-parametric and Semi-parametric Methods in Econometrics and Statistics. 1991;Cambridge University Press, Cambridge.
-
(1991)
Non-parametric and Semi-parametric Methods in Econometrics and Statistics
-
-
Gallant, A.R.1
Hsieh, D.A.2
Tauchen, G.E.3
-
11
-
-
84993601065
-
On the relation between the expected value and the volatility of the nominal excess return on stocks
-
Glosten L.R., Jagannathan R., Runkle D.E. On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance. 48:1993;1779-1801.
-
(1993)
Journal of Finance
, vol.48
, pp. 1779-1801
-
-
Glosten, L.R.1
Jagannathan, R.2
Runkle, D.E.3
-
12
-
-
84977709229
-
The pricing of options on assets with stochastic volatilities
-
Hull J., White A. The pricing of options on assets with stochastic volatilities. Journal of Finance. 42:1987;281-300.
-
(1987)
Journal of Finance
, vol.42
, pp. 281-300
-
-
Hull, J.1
White, A.2
-
14
-
-
0842316847
-
ARCH models as diffusion approximations
-
Nelson D.B. ARCH models as diffusion approximations. Journal of Econometrics. 45:1990;7-38.
-
(1990)
Journal of Econometrics
, vol.45
, pp. 7-38
-
-
Nelson, D.B.1
-
15
-
-
0000641348
-
Conditional heteroskedasticity in asset returns: A new approach
-
Nelson D.B. Conditional heteroskedasticity in asset returns: A new approach. Econometrica. 59:1991;347-370.
-
(1991)
Econometrica
, vol.59
, pp. 347-370
-
-
Nelson, D.B.1
-
16
-
-
84977707955
-
Why does stock market volatility change over time
-
Schwert G.W. Why does stock market volatility change over time. Journal of Finance. 44:1989;1115-1153.
-
(1989)
Journal of Finance
, vol.44
, pp. 1115-1153
-
-
Schwert, G.W.1
-
17
-
-
0001790102
-
Statistical aspects of ARCH and stochastic volatility
-
In: Cox, D.R., Hinkley, D.V., Barndorff-Nielsen, O.E., (Eds.), Chapman and Hall, London
-
Shephard, N., 1996, Statistical aspects of ARCH and stochastic volatility. In: Cox, D.R., Hinkley, D.V., Barndorff-Nielsen, O.E., (Eds.), Time Series Models with Econometric, Finance and Other Applications. Chapman and Hall, London, pp. 1-67.
-
(1996)
Time Series Models with Econometric, Finance and Other Applications
, pp. 1-67
-
-
Shephard, N.1
-
18
-
-
0000658999
-
The price variability-volume relationship on speculative markets
-
Tauchen G.E., Pitts M. The price variability-volume relationship on speculative markets. Econometrica. 51:1983;415-443.
-
(1983)
Econometrica
, vol.51
, pp. 415-443
-
-
Tauchen, G.E.1
Pitts, M.2
-
20
-
-
84986754945
-
Modelling stochastic volatility: A review and comparative study
-
Taylor S.J. Modelling stochastic volatility: A review and comparative study. Mathematical Finance. 4:1994;183-204.
-
(1994)
Mathematical Finance
, vol.4
, pp. 183-204
-
-
Taylor, S.J.1
|