Modelling and testing for market volatility

DOI10.1080/00207729408929005MaRDI QIDQ4304473zbMATH OpenOpenAlexFDO

Authors J. K. Sengupta, Raymond E. Sfeir

Publication date 12 September 1994

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207729408929005

zbMATH Keywords

chaotic dynamicsconditional variance modelsnonlinear models of volatility

Mathematics Subject Classification ID

Economic growth models (91B62)

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Deterministic Nonperiodic Flow
• Modelling the persistence of conditional variances

Cited in

(14)

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• Models of stochastic and chaotic volatility for news analysis
• Bayesian testing for non-linearity in volatility modeling
• Modeling market impact and timing risk in volume time
• scientific article; zbMATH DE number 422179 (Why is no real title available?)
• Nonlinear dynamics of the Nikkei stock average futures
• Modelling nonlinearities in equity returns: the mean impact curve analysis
• A variance frontier model of market volatility: an empirical application
• Adjustment costs in mean-variance efficiency analysis
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
• Testing for changing volatility
• TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA
• The uncertainties about the relationships risk-return-volatility in the Spanish stock market

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