Conditional Heteroskedasticity in Asset Returns: A New Approach

DOI10.2307/2938260zbMATH Open0722.62069OpenAlexW1999814123MaRDI QIDQ3210032FDOQ3210032

Authors: Daniel B. Nelson 

Publication date: 1991

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938260

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zbMATH Keywords

nonlinear time seriesGARCH modelsautoregressive conditional heteroskedasticityconditional variancemarket volatilitygeneralized autoregressive conditional heteroskedasticityasset pricing applicationsasset risk premiaexponential ARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cited In (only showing first 100 items - show all)

• Option pricing for GARCH-type models with generalized hyperbolic innovations
• Risk measures and multivariate extensions of Breiman's theorem
• Non‐trading day effects in asymmetric conditional and stochastic volatility models
• Support vector machine as an efficient framework for stock market volatility forecasting
• An empirical evaluation of fat-tailed distributions in modeling financial time series
• Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
• Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence
• Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• On stationarity and ergodicity of the bilinear model with applications to GARCH models
• M-ESTIMATION IN GARCH MODELS
• Realistic Statistical Modelling of Financial Data
• A multiplicative model for volume and volatility
• Weak convergence and distributional assumptions for a general class of nonliner arch models
• Asymptotic properties for distributions and densities of extremes from generalized gamma distribution
• A goodness-of-fit test for ARCH(\(\infty\)) models
• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• Granger-causality in Markov switching models
• A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
• Joint and marginal specification tests for conditional mean and variance models
• The common and specific components of dynamic volatility
• Option valuation with conditional skewness
• Volatility puzzles: a simple framework for gauging return-volatility regressions
• A goodness-of-fit test for ARCH(\(\infty\)) models
• Pseudo‐likelihood estimation in ARCH models
• On dynamics of volatilities in nonstationary GARCH models
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
• Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach
• Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
• An empirical comparison of GARCH option pricing models
• Time-varying copula models for financial time series
• Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
• Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
• Conditional value-at-risk: semiparametric estimation and inference
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
• On measuring volatility of diffusion processes with high frequency data
• Reconciling negative return skewness with positive time-varying risk premia
• Volatility forecasting using threshold heteroskedastic models of the intra-day range
• Statistical inference for nonparametric GARCH models
• Stock returns seasonality in emerging Asian markets
• Conditional VaR estimation using Pearson's type IV distribution
• Evaluating volatility forecasts in option pricing in the context of a simulated options market
• Unobserved component models with asymmetric conditional variances
• Semiparametric inference in a GARCH-in-mean model
• The Birnbaum-Saunders autoregressive conditional duration model
• A test for volatility spillover with application to exchange rates
• Local scale models. State space alternative to integraded GARCH processes
• Strong approximation for the sums of squares of augmented GARCH sequences
• Common volatility and correlation clustering in asset returns
• Behavioral heterogeneity in the option market
• Approaches for multi-step density forecasts with application to aggregated wind power
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Gram-Charlier densities.
• Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
• Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
• Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return
• Stationarity of stable power-GARCH processes.
• Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
• Regime switching in foreign exchange rates: Evidence from currency option prices
• Diagnostic checking for the adequacy of nonlinear time series models
• Quantile regression estimator for GARCH models
• American option pricing under GARCH by a Markov chain approximation
• Financial econometrics: Past developments and future challenges
• Bayesian inference of multivariate-GARCH-BEKK models
• Dynamic factor multivariate GARCH model
• The estimation of leverage effect with high-frequency data
• Bayesian estimation of the Gaussian mixture GARCH model
• A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
• A data-dependent approach to modeling volatility in financial time series
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
• Value at risk with time varying variance, skewness and kurtosis-the NIG-ACD model
• Asymptotic normality for weighted sums of linear processes
• A simple joint model for returns, volatility and volatility of volatility
• Adaptive Lasso for vector multiplicative error models
• Comparing firm failure predictions between Logit, KMV, and ZPP models: Evidence from Taiwan's electronics industry
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
• A new approach to model financial markets
• On theory testing in econometrics. Modeling with nonexperimental data
• On filtering and estimation of a threshold stochastic volatility model
• Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes
• A flexible state space model and its applications
• Stationarity and ergodicity of univariate generalized autoregressive score processes
• On the efficiency of a semi-parametric GARCH model
• Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model
• Extreme value theory for moving average processes with light-tailed innovations
• Some statistical results on autoregressive conditionally heteroscedastic models
• Computational tools for comparing asymmetric GARCH models via Bayes factors
• Stationarity of Gtarch Processes
• Specification tests for the error distribution in GARCH models
• Residual-based rank specification tests for AR-GARCH type models
• Rates of convergence of powered order statistics from general error distribution
• Portfolio optimization and a factor model in a stochastic volatility market
• On asymmetric generalised t stochastic volatility models
• V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model
• Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Asymmetry in stochastic volatility models with threshold and time-dependent correlation
• THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS

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