Conditional Heteroskedasticity in Asset Returns: A New Approach

DOI10.2307/2938260zbMATH Open0722.62069OpenAlexW1999814123MaRDI QIDQ3210032FDOQ3210032

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)

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• Portfolio optimization and a factor model in a stochastic volatility market
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• QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
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• Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
• MEAN-REVERTING STOCHASTIC VOLATILITY
• A FLEXIBLE STATE SPACE MODEL AND ITS APPLICATIONS
• Asymmetry in stochastic volatility models with threshold and time-dependent correlation
• THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
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• Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
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• New evidence on the relation between return volatility and trading volume
• Multivariate stochastic volatility, leverage and news impact surfaces
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• Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
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• Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk
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• Parametric and nonparametric models and methods in financial econometrics
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• TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
• Adaptive likelihood estimator of conditional variance function
• Multi-regime nonlinear capital asset pricing models
• A lattice model for option pricing under GARCH-jump processes
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• Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
• On loss functions and ranking forecasting performances of multivariate volatility models
• Approximating volatility diffusions with CEV-ARCH models
• ESTIMATION OF ECONOMETRIC MODELS WITH NONPARAMETRICALLY SPECIFIED RISK TERMS
• A Modified Empirical Martingale Simulation for Financial Derivative Pricing
• A conditional extreme value volatility estimator based on high-frequency returns
• A double-threshold GARCH model of stock market and currency shocks on stock returns
• Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model
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• Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
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• Fuzzy inductive reasoning, expectation formation and the behavior of security prices
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• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• Assessing the bias of maximum likelihood estimates of contaminated garch models
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• Nonlinear dynamics of the Nikkei stock average futures
• Stationarity and geometric ergodicity of a class of nonlinear ARCH models
• Expectation revisions and jumps in asset prices
• Bootstrap prediction in univariate volatility models with leverage effect
• Threshold quantile autoregressive models
• Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
• Testing for persistence in stock returns with GARCH-stable shocks

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