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)

• Approximating volatility diffusions with CEV-ARCH models
• ESTIMATION OF ECONOMETRIC MODELS WITH NONPARAMETRICALLY SPECIFIED RISK TERMS
• 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
• Comparison of nonnested asymmetric heteroskedastic models
• Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
• Moving average conditional heteroskedastic processes
• Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism
• On testing for multivariate ARCH effects in vector time series models
• Variance (Non) Causality in Multivariate GARCH
• Small sample properties of \(\text{GARCH}(1,1)\) estimator under non-normality
• A new estimator method for GARCH models
• Fuzzy inductive reasoning, expectation formation and the behavior of security prices
• Asymptotic filtering theory for multivariate ARCH models
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• Assessing the bias of maximum likelihood estimates of contaminated garch models
• On the interday homogeneity in the intraday rate of trading
• Nonlinear dynamics of the Nikkei stock average futures
• Stationarity and geometric ergodicity of a class of nonlinear ARCH models
• 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
• Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
• Accurate value-at-risk forecasting based on the normal-GARCH model
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
• Generalized ARMA models with martingale difference errors
• Sample quantile analysis for long-memory stochastic volatility models
• Bootstrap forecast intervals for asymmetric volatilities via EGARCH model
• Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
• A generalized dynamic conditional correlation model for portfolio risk evaluation
• Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
• Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
• Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management
• The role of Japanese candlestick in DVAR model
• Time-varying transition probabilities for Markov regime switching models
• A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
• Long memory and asymmetry for matrix-exponential dynamic correlation processes
• The generalized Gudermannian distribution: inference and volatility modelling
• A study on modeling the dynamics of statistically dependent returns
• Surprise volume and heteroskedasticity in equity market returns
• Likelihood inference in BL-GARCH models
• On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
• A modified empirical martingale simulation for financial derivative pricing
• Falling and explosive, dormant, and rising markets via multi-regime financial time series models
• Bayesian analysis of mixture autoregressive models covering the complete parameter space
• Time-deformation modeling of stock returns directed by duration processes
• CDS volatility: the key signal of credit quality
• Whittle estimation of EGARCH and other exponential volatility models
• Approaches to forecasting volatility: Models and their performances for emerging equity markets
• Effects of outliers on the identification and estimation of GARCH models
• MULTIVARIATE ECOGARCH PROCESSES
• Smile from the past: a general option pricing framework with multiple volatility and leverage components
• A nonlinear time series approach to modelling asymmetry in stock market indexes
• Fractionally integrated time varying GARCH model
• Statistical inference for time-inhomogeneous volatility models.
• Testing normality: a GMM approach
• Density expansions of extremes from general error distribution with applications
• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Augmented GARCH\((p,q)\) process and its diffusion limit
• Asymptotic expansions of the moments of extremes from general error distribution
• Stochastic volatility and stochastic leverage
• Dynamic Asymmetric Leverage in Stochastic Volatility Models
• Robust estimates for GARCH models
• Affine fractional stochastic volatility models
• Asymmetric Multivariate Stochastic Volatility
• Conditional copula simulation for systemic risk stress testing
• No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
• Matrix exponential GARCH
• Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
• A versatile and robust metric entropy test of time-reversibility, and other hypotheses
• An econometric analysis of asymmetric volatility: theory and application to patents
• Statistical inference for time-varying ARCH processes
• Long-run risk-return trade-offs
• Consistent ranking of volatility models
• Granger causality in risk and detection of extreme risk spillover between financial markets
• Long memory processes and fractional integration in econometrics
• Modeling and pricing long memory in stock market volatility
• Asymptotic results for the empirical process of stationary sequences
• Leverage, heavy-tails and correlated jumps in stochastic volatility models
• Contemporaneous asymmetry in GARCH processes
• Multivariate Stochastic Volatility: A Review
• A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
• Estimation of stochastic volatility models with diagnostics
• The detection and estimation of long memory in stochastic volatility
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• Gaussian inference on certain long-range dependent volatility models
• ARCH/GARCH with persistent covariate: asymptotic theory of MLE
• Properties of moments of a family of GARCH processes
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Volatility modeling with leverage effect under Laplace errors
• On the determination of general scientific models with application to asset pricing
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Efficient estimation in semiparametric GARCH models
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Convergence rate of extremes for the general error distribution
• Volume, volatility, and leverage: A dynamic analysis
• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model

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