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)

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• MEAN-REVERTING STOCHASTIC VOLATILITY
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