ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104): Difference between revisions

@@ Property / author @@
-Ray Yeutien Chou
@@ Property / author: Ray Yeutien Chou / rank @@
-Normal rank
@@ Property / author @@
+Ray Yeutien Chou
@@ Property / author: Ray Yeutien Chou / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q29039435
@@ Property / Wikidata QID: Q29039435 / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Econometric tests of rationality and market efficiency
+Normal rank
@@ Property / cites work @@
+Prediction in dynamic models with time-dependent conditional variances
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Common Persistence in Conditional Variances
@@ Property / cites work: Common Persistence in Conditional Variances / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
+Normal rank
@@ Property / cites work @@
+Stationarity of GARCH processes and of some nonnegative time series
+Normal rank
@@ Property / cites work @@
+An intertemporal asset pricing model with stochastic consumption and investment opportunities
+Normal rank
@@ Property / cites work @@
+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
+Normal rank
@@ Property / cites work @@
+Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
+Normal rank
@@ Property / cites work @@
+Empirical modeling of exchange rate dynamics
@@ Property / cites work: Empirical modeling of exchange rate dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Temporal Aggregation of Garch Processes
@@ Property / cites work: Temporal Aggregation of Garch Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Modelling the persistence of conditional variances
+Normal rank
@@ Property / cites work @@
+On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form
+Normal rank
@@ Property / cites work @@
+Semi-Nonparametric Maximum Likelihood Estimation
@@ Property / cites work: Semi-Nonparametric Maximum Likelihood Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
+Normal rank
@@ Property / cites work @@
+Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
+Normal rank
@@ Property / cites work @@
+Q4015733
@@ Property / cites work: Q4015733 / rank @@
+Normal rank
@@ Property / cites work @@
+Using simulation methods for bayesian econometric models: inference, development,and communication
+Normal rank
@@ Property / cites work @@
+Exact predictive densities for linear models with ARCH disturbances
+Normal rank
@@ Property / cites work @@
+Bayesian Inference in Econometric Models Using Monte Carlo Integration
+Normal rank
@@ Property / cites work @@
+Qualitative threshold ARCH models
@@ Property / cites work: Qualitative threshold ARCH models / rank @@
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+GARCH (1,1) processes are near epoch dependent
@@ Property / cites work: GARCH (1,1) processes are near epoch dependent / rank @@
+Normal rank
@@ Property / cites work @@
+Q5750229
@@ Property / cites work: Q5750229 / rank @@
+Normal rank
@@ Property / cites work @@
+On a measure of lack of fit in time series models
@@ Property / cites work: On a measure of lack of fit in time series models / rank @@
+Normal rank
@@ Property / cites work @@
+Asset Prices in an Exchange Economy
@@ Property / cites work: Asset Prices in an Exchange Economy / rank @@
+Normal rank
@@ Property / cites work @@
+Q3374319
@@ Property / cites work: Q3374319 / rank @@
+Normal rank
@@ Property / cites work @@
+An Intertemporal Capital Asset Pricing Model
@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
+Normal rank
@@ Property / cites work @@
+Q3727186
@@ Property / cites work: Q3727186 / rank @@
+Normal rank
@@ Property / cites work @@
+Bias correction in the frequency domain estimation of time series models
+Normal rank
@@ Property / cites work @@
+A test of fit in time series models
@@ Property / cites work: A test of fit in time series models / rank @@
+Normal rank
@@ Property / cites work @@
+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
+Normal rank
@@ Property / cites work @@
+Econometric Issues in the Analysis of Regressions with Generated Regressors
+Normal rank
@@ Property / cites work @@
+Two Stage and Related Estimators and Their Applications
+Normal rank
@@ Property / cites work @@
+Testing for covariance stationarity in stock market data
+Normal rank
@@ Property / cites work @@
+Q3780320
@@ Property / cites work: Q3780320 / rank @@
+Normal rank
@@ Property / cites work @@
+The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
+Normal rank
@@ Property / cites work @@
+Q3323077
@@ Property / cites work: Q3323077 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
+Normal rank
@@ Property / cites work @@
+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
+Normal rank
@@ Property / cites work @@
+Identification, estimation and testing of conditionally heteroskedastic factor models
+Normal rank
@@ Property / cites work @@
+Q3896361
@@ Property / cites work: Q3896361 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5445942
@@ Property / cites work: Q5445942 / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Heteroscedastic Time Series Models
@@ Property / cites work: Conditional Heteroscedastic Time Series Models / rank @@
+Normal rank
@@ Property / cites work @@
+ARMA MODELS WITH ARCH ERRORS
@@ Property / cites work: ARMA MODELS WITH ARCH ERRORS / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum Likelihood Estimation of Misspecified Models
+Normal rank
@@ Property / cites work @@
+Autoregressive conditional heteroscedasticity: a comparison of ARCH and random coefficient models
+Normal rank
@@ Property / cites work @@
+Threshold heteroskedastic models
@@ Property / cites work: Threshold heteroskedastic models / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1185104