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)

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

• 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
• MTests with a New Normalization Matrix
• Gaussian inference on certain long-range dependent volatility models
• ARCH/GARCH with persistent covariate: asymptotic theory of MLE
• Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
• An empirical comparison of GARCH option pricing models
• 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
• 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
• Volume, volatility, and leverage: A dynamic analysis
• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• The efficiency of the estimators of the parameters in GARCH processes.
• Nonparametric estimation of structural models for high-frequency currency market data
• Local Whittle estimation of fractional integration for nonlinear processes
• BootstrapMUnit Root Tests
• Entropy densities with an application to autoregressive conditional skewness and kurtosis.
• Forecasting using locally stationary wavelet processes
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
• American options with stochastic dividends and volatility: a nonparametric investigation
• Higher-order expansions for distributions of extremes from general error distribution
• An algorithm for nonparametric GARCH modelling.
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• Post-'87 crash fears in the S\&P 500 futures option market
• CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
• Properties and estimation of asymmetric exponential power distribution
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
• On leverage in a stochastic volatility model
• Stochastic volatility models with possible extremal clustering
• Temporal aggregation of volatility models
• GARCH models without positivity constraints: exponential or log GARCH?
• Change‐point monitoring in linear models
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Tail Behavior of the General Error Distribution
• Modelling the persistence of conditional variances
• COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
• Split invariance principles for stationary processes
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• THE GARCH OPTION PRICING MODEL
• A test for the weights of the global minimum variance portfolio in an elliptical model
• MIDAS Regressions: Further Results and New Directions
• A consistent test for conditional symmetry in time series models
• Maximum likelihood estimates for positive valued dynamic score models; the DySco package
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Dynamic portfolio management under competing representations
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Nuisance parameter free properties of correlation integral based statistics
• Some recent developments in stochastic volatility modelling
• Break detection in the covariance structure of multivariate time series models
• On the structure and estimation of hierarchical Archimedean copulas
• USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS
• Autoregressive conditional heteroskedasticity and changes in regime
• ARCH modeling in finance. A review of the theory and empirical evidence
• Drawdown risk measures for asset portfolios with high frequency data
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• Statistical inference for conditional quantiles in nonlinear time series models
• Testing for GARCH effects: A one-sided approach
• Convergence Rate of Extremes for the General Error Distribution
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• 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

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