메뉴 건너뛰기




Volumn 94, Issue 3, 2004, Pages 405-420

Risk and volatility: Econometric models and financial practice

Author keywords

[No Author keywords available]

Indexed keywords


EID: 4043149360     PISSN: 00028282     EISSN: None     Source Type: Journal    
DOI: 10.1257/0002828041464597     Document Type: Review
Times cited : (289)

References (39)
  • 1
    • 0005880209 scopus 로고    scopus 로고
    • Answering the skeptics: Yes, standard volatility models do provide accurate forecasts
    • November
    • Andersen, Torben G. and Bollerslev, Tim. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts." International Economic Review, November 1998a, 39(4), pp. 885-905.
    • (1998) International Economic Review , vol.39 , Issue.4 , pp. 885-905
    • Andersen, T.G.1    Bollerslev, T.2
  • 2
    • 0039066490 scopus 로고    scopus 로고
    • Deutsche Mark-Dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies
    • February
    • _. "Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies." Journal of Finance, February 1998b, 53(1), pp. 219-65.
    • (1998) Journal of Finance , vol.53 , Issue.1 , pp. 219-265
  • 3
    • 0037244925 scopus 로고    scopus 로고
    • Modeling and forecasting realized volatility
    • March
    • Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. and Labys, Paul. "Modeling and Forecasting Realized Volatility." Econometrica, March 2003, 71(2), pp. 579-625.
    • (2003) Econometrica , vol.71 , Issue.2 , pp. 579-625
    • Andersen, T.G.1    Bollerslev, T.2    Diebold, F.X.3    Labys, P.4
  • 4
    • 0347985223 scopus 로고    scopus 로고
    • Empirical option pricing: A retrospection
    • September-October
    • Bates, David S. "Empirical Option Pricing: A Retrospection." Journal of Econometrics, September-October 2003, 116(1-2), pp. 387-404.
    • (2003) Journal of Econometrics , vol.116 , Issue.1-2 , pp. 387-404
    • Bates, D.S.1
  • 5
    • 0000847992 scopus 로고
    • The valuation of option contracts and a test of market efficiency
    • May
    • Black, Fisher and Scholes, Myron. "The Valuation of Option Contracts and a Test of Market Efficiency." Journal of Finance, May 1972, 27(2), pp. 399-417.
    • (1972) Journal of Finance , vol.27 , Issue.2 , pp. 399-417
    • Black, F.1    Scholes, M.2
  • 6
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • April
    • Bollerslev, Tim. "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics, April 1986, 37(3), pp. 307-27.
    • (1986) Journal of Econometrics , vol.37 , Issue.3 , pp. 307-327
    • Bollerslev, T.1
  • 7
    • 0001023182 scopus 로고
    • Modelling the coherence in short-run nominal exchange rates: A multivariate generalized arch model
    • August
    • _. "Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model." Review of Economics and Statistics, August 1990, 72(3), pp. 498-505.
    • (1990) Review of Economics and Statistics , vol.72 , Issue.3 , pp. 498-505
  • 8
    • 34848900983 scopus 로고
    • Arch modeling in finance: A review of the theory and empirical evidence
    • April-May
    • Bollerslev, Tim; Chou, Ray-Yeutien (Ray) and Kroner, Kenneth F. "Arch Modeling in Finance: A Review of the Theory and Empirical Evidence." Journal of Econometrics, April-May 1992, 52(1-2), pp. 5-59.
    • (1992) Journal of Econometrics , vol.52 , Issue.1-2 , pp. 5-59
    • Bollerslev, T.1    Chou, R.-Y.2    Kroner, K.F.3
  • 9
    • 70350121603 scopus 로고
    • Arch models
    • Robert F. Engle and Daniel L. McFadden, eds. Amsterdam: North-Holland
    • Bollerslev, Tim; Engle, Robert F. and Nelson, Daniel. "Arch Models," in Robert F. Engle and Daniel L. McFadden, eds., Handbook of econometrics, Vol. 4. Amsterdam: North-Holland, 1994, pp. 2959-3038.
    • (1994) Handbook of Econometrics , vol.4 , pp. 2959-3038
    • Bollerslev, T.1    Engle, R.F.2    Nelson, D.3
  • 11
    • 85009315745 scopus 로고    scopus 로고
    • Correlations and volatilities of asynchronous data
    • Summer
    • Burns, Pat; Engle, Robert F. and Mezrich, Joseph. "Correlations and Volatilities of Asynchronous Data." Journal of Derivatives, Summer 1998, 5(4), pp. 7-18.
    • (1998) Journal of Derivatives , vol.5 , Issue.4 , pp. 7-18
    • Burns, P.1    Engle, R.F.2    Mezrich, J.3
  • 12
    • 38249014105 scopus 로고
    • Measuring risk-aversion from excess returns on a stock index
    • April-May
    • Chou, Ray-Yeutien (Ray); Engle, Robert F. and Kane, Alex. "Measuring Risk-Aversion from Excess Returns on a Stock Index." Journal of Econometrics, April-May 1992, 52(1-2), pp. 201-24.
    • (1992) Journal of Econometrics , vol.52 , Issue.1-2 , pp. 201-224
    • Chou, R.-Y.1    Engle, R.F.2    Kane, A.3
  • 13
    • 0000346734 scopus 로고
    • A subordinated stochastic process model with finite variance for speculative prices
    • January
    • Clark, Peter K. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices." Econometrica, January 1973, 41(1), pp. 135-56.
    • (1973) Econometrica , vol.41 , Issue.1 , pp. 135-156
    • Clark, P.K.1
  • 14
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation
    • July
    • Engle, Robert F. "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation." Econometrica, July 1982, 50(4), pp. 987-1008.
    • (1982) Econometrica , vol.50 , Issue.4 , pp. 987-1008
    • Engle, R.F.1
  • 15
    • 0001005120 scopus 로고
    • Estimates of the variance of U.S. inflation based upon the arch model
    • August
    • _. "Estimates of the Variance of U.S. Inflation Based Upon the Arch Model." Journal of Money, Credit, and Banking, August 1983, 15(3), pp. 286-301.
    • (1983) Journal of Money, Credit, and Banking , vol.15 , Issue.3 , pp. 286-301
  • 16
    • 0001905231 scopus 로고    scopus 로고
    • The econometrics of ultra-high-frequency data
    • January
    • _. "The Econometrics of Ultra-High-Frequency Data." Econometrica, January 2000, 68(1), pp. 1-22.
    • (2000) Econometrica , vol.68 , Issue.1 , pp. 1-22
  • 17
    • 0035998182 scopus 로고    scopus 로고
    • Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models
    • July
    • _. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models." Journal of Business and Economic Statistics, July 2002a, 20(3), pp. 339-50.
    • (2002) Journal of Business and Economic Statistics , vol.20 , Issue.3 , pp. 339-350
  • 18
    • 0036406980 scopus 로고    scopus 로고
    • New frontiers for arch models
    • September-October
    • _. "New Frontiers for Arch Models." Journal of Applied Econometrics, September-October 2002b, 17(2), pp. 425-46.
    • (2002) Journal of Applied Econometrics , vol.17 , Issue.2 , pp. 425-446
  • 19
    • 70350152112 scopus 로고    scopus 로고
    • Forecasting variance of variance: The square-root, the affine, and the cev garch models
    • New York University
    • Engle, Robert F. and Ishida, Isao. "Forecasting Variance of Variance: The Square-Root, the Affine, and the Cev Garch Models." Department of Finance working papers, New York University, 2002.
    • (2002) Department of Finance Working Papers
    • Engle, R.F.1    Ishida, I.2
  • 20
    • 0001659575 scopus 로고
    • Meteor-showers or heat waves - Heteroskedastic intradaily volatility in the foreign-exchange market
    • May
    • Engle, Robert F.; Ito, Takatoshi and Lin, WenLing. "Meteor-Showers or Heat Waves - Heteroskedastic Intradaily Volatility in the Foreign-Exchange Market." Econometrica, May 1990a, 58(3), pp. 525-42.
    • (1990) Econometrica , vol.58 , Issue.3 , pp. 525-542
    • Engle, R.F.1    Ito, T.2    Lin, W.3
  • 21
    • 0001264648 scopus 로고
    • Estimating time-varying risk premia in the term structure: The arch-M model
    • March
    • Engle, Robert F.; Lilien, David M. and Robins, Russel P. "Estimating Time-Varying Risk Premia in the Term Structure: The Arch-M Model." Econometrica, March 1987, 55(2), pp. 391-407.
    • (1987) Econometrica , vol.55 , Issue.2 , pp. 391-407
    • Engle, R.F.1    Lilien, D.M.2    Robins, R.P.3
  • 22
    • 45149140983 scopus 로고
    • Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills
    • July-August
    • Engle, Robert F.; Ng, Victor K. and Rothschild, Michael. "Asset Pricing with a Factor-Arch Covariance Structure: Empirical Estimates for Treasury Bills." Journal of Econometrics, July-August 1990b, 45(1-2), pp. 213-37.
    • (1990) Journal of Econometrics , vol.45 , Issue.1-2 , pp. 213-237
    • Engle, R.F.1    Ng, V.K.2    Rothschild, M.3
  • 23
    • 0000373457 scopus 로고    scopus 로고
    • Autoregressive conditional duration: A new model for irregularly spaced transaction data
    • September
    • Engle, Robert F. and Russell, Jeffrey R. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data." Econometrica, September 1998, 66(5), pp. 1127-62.
    • (1998) Econometrica , vol.66 , Issue.5 , pp. 1127-1162
    • Engle, R.F.1    Russell, J.R.2
  • 25
    • 0000962629 scopus 로고
    • Nobel lecture: Inflation and unemployment
    • June
    • Friedman, Milton. "Nobel Lecture: Inflation and Unemployment." Journal of Political Economy, June 1977, 85(3), pp. 451-72.
    • (1977) Journal of Political Economy , vol.85 , Issue.3 , pp. 451-472
    • Friedman, M.1
  • 26
    • 84993601065 scopus 로고
    • On the relation between the expected value and the volatility of the nominal excess return on stocks
    • December
    • Glosten, Lawrence R.; Jagannathan, Ravi and Runkle, David E. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks." Journal of Finance, December 1993, 48(5), pp. 1779-801.
    • (1993) Journal of Finance , vol.48 , Issue.5 , pp. 1779-1801
    • Glosten, L.R.1    Jagannathan, R.2    Runkle, D.E.3
  • 27
    • 0001698432 scopus 로고
    • Correlations in price changes and volatility across international stock markets
    • Summer
    • Hamao, Yasushi; Masulis, Ron W. and Ng, Victor K. "Correlations in Price Changes and Volatility across International Stock Markets." Review of Financial Studies, Summer 1990, 3(2), pp. 281-307.
    • (1990) Review of Financial Studies , vol.3 , Issue.2 , pp. 281-307
    • Hamao, Y.1    Masulis, R.W.2    Ng, V.K.3
  • 28
    • 84962984403 scopus 로고
    • Multivariate stochastic variance models
    • April
    • Harvey, Andrew C.; Ruiz, Esterh and Shephard, Neil. "Multivariate Stochastic Variance Models." Review of Economic Studies, April 1994, 61(2), pp. 247-64.
    • (1994) Review of Economic Studies , vol.61 , Issue.2 , pp. 247-264
    • Harvey, A.C.1    Ruiz, E.2    Shephard, N.3
  • 29
    • 0034381629 scopus 로고    scopus 로고
    • Recovering risk aversion from option prices and realized returns
    • Summer
    • Jackwerth, Jens C. "Recovering Risk Aversion from Option Prices and Realized Returns." Review of Financial Studies, Summer 2000, 13(2), pp. 433-51.
    • (2000) Review of Financial Studies , vol.13 , Issue.2 , pp. 433-451
    • Jackwerth, J.C.1
  • 30
    • 84995186518 scopus 로고
    • Portfolio selection
    • March
    • Markowitz, Harry M. "Portfolio Selection." Journal of Finance, March 1952, 7(1), pp. 77-91.
    • (1952) Journal of Finance , vol.7 , Issue.1 , pp. 77-91
    • Markowitz, H.M.1
  • 32
    • 85025724501 scopus 로고
    • On estimating the expected return on the market: An exploratory investigation
    • December
    • _. "On Estimating the Expected Return on the Market: An Exploratory Investigation." Journal of Financial Economics, December 1980, 8(4), pp. 323-61.
    • (1980) Journal of Financial Economics , vol.8 , Issue.4 , pp. 323-361
  • 33
    • 0000641348 scopus 로고
    • Conditional heteroskedasticity in asset returns: A new approach
    • March
    • Nelson, Daniel B. "Conditional Heteroskedasticity in Asset Returns: A New Approach." Econometrica, March 1991, 59(2), pp. 347-70.
    • (1991) Econometrica , vol.59 , Issue.2 , pp. 347-370
    • Nelson, D.B.1
  • 35
    • 84980092818 scopus 로고
    • Capital asset prices: A theory of market equilibrium under conditions of risk
    • September
    • Sharpe, William. "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk." Journal of Finance, September 1964, 19(3), pp. 425-42.
    • (1964) Journal of Finance , vol.19 , Issue.3 , pp. 425-442
    • Sharpe, W.1
  • 37
    • 84986754945 scopus 로고
    • Modeling stochastic volatility: A review and comparative study
    • April
    • _. "Modeling Stochastic Volatility: A Review and Comparative Study." Mathematical Finance, April 1994, 4(2), pp. 183-204.
    • (1994) Mathematical Finance , vol.4 , Issue.2 , pp. 183-204
  • 38
    • 84963108002 scopus 로고
    • Liquidity preference as behavior towards risk
    • February
    • Tobin, James. "Liquidity Preference as Behavior Towards Risk." Review of Economic Studies, February 1958, 25(2), pp. 65-86.
    • (1958) Review of Economic Studies , vol.25 , Issue.2 , pp. 65-86
    • Tobin, J.1
  • 39
    • 0000560198 scopus 로고
    • Threshold heteroskedastic models
    • September
    • Zakoian, Jean Michael. "Threshold Heteroskedastic Models." Journal of Economic Dynamics and Control, September 1994, 18(5), pp. 931-55.
    • (1994) Journal of Economic Dynamics and Control , vol.18 , Issue.5 , pp. 931-955
    • Zakoian, J.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.