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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• Extreme value theory for moving average processes with light-tailed innovations
• Some statistical results on autoregressive conditionally heteroscedastic models
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• Rates of convergence of powered order statistics from general error distribution
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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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• RCA model with quadratic GARCH innovation distribution
• Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
• Slope influence diagnostics in conditional heteroscedastic time series models
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• A Monte Carlo Markov chain algorithm for a class of mixture time series models
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• Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
• 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
• Adding flexibility to Markov Switching models
• BL-GARCH models with elliptical distributed innovations
• Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation
• The ARMA alphabet soup: a tour of ARMA model variants
• Bivariate Time Series Modeling of Financial Count Data
• Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
• Parametric and nonparametric models and methods in financial econometrics
• A generalized bivariate mixture model for stock price volatility and trading volume
• 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
• Estimation of risk measures in energy portfolios using modern copula techniques
• Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
• On loss functions and ranking forecasting performances of multivariate volatility models
• 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
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• M-ESTIMATION IN GARCH MODELS
• Realistic Statistical Modelling of Financial Data
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• A multiplicative model for volume and volatility
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• 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
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• 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

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