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)

• 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
• DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
• On stationarity and ergodicity of the bilinear model with applications to GARCH models
• Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances
• M-ESTIMATION IN GARCH MODELS
• Realistic Statistical Modelling of Financial Data
• Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
• A multiplicative model for volume and volatility
• Quantile Regression Estimator for GARCH Models
• 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
• Granger-causality in Markov switching models
• 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
• A goodness-of-fit test for ARCH(\(\infty\)) models
• Pseudo‐likelihood estimation in ARCH models
• On dynamics of volatilities in nonstationary GARCH models
• The Estimation of Leverage Effect With High-Frequency Data
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
• Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach
• Time-varying copula models for financial time series
• Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
• Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
• Conditional value-at-risk: semiparametric estimation and inference
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
• On measuring volatility of diffusion processes with high frequency data
• Reconciling negative return skewness with positive time-varying risk premia
• Volatility forecasting using threshold heteroskedastic models of the intra-day range
• ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES
• Statistical inference for nonparametric GARCH models
• Stock returns seasonality in emerging Asian markets
• Conditional VaR estimation using Pearson's type IV distribution
• Evaluating volatility forecasts in option pricing in the context of a simulated options market
• Unobserved component models with asymmetric conditional variances
• Adaptive Lasso for vector Multiplicative Error Models
• Semiparametric inference in a GARCH-in-mean model
• The Birnbaum-Saunders autoregressive conditional duration model
• A test for volatility spillover with application to exchange rates
• Local scale models. State space alternative to integraded GARCH processes
• Strong approximation for the sums of squares of augmented GARCH sequences
• Common volatility and correlation clustering in asset returns
• Behavioral heterogeneity in the option market
• Approaches for multi-step density forecasts with application to aggregated wind power
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Gram-Charlier densities.
• Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
• Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return
• Stationarity of stable power-GARCH processes.
• Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
• Regime switching in foreign exchange rates: Evidence from currency option prices
• Goodness of fit assessment for a fractal model of stock markets
• American option pricing under GARCH by a Markov chain approximation
• Financial econometrics: Past developments and future challenges
• Bayesian inference of multivariate-GARCH-BEKK models
• Dynamic factor multivariate GARCH model
• Bayesian estimation of the Gaussian mixture GARCH model
• Threshold heteroskedastic models
• A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
• A data-dependent approach to modeling volatility in financial time series
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
• A simple joint model for returns, volatility and volatility of volatility
• Comparing firm failure predictions between Logit, KMV, and ZPP models: Evidence from Taiwan's electronics industry
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
• 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
• 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
• Time‐Varying Transition Probabilities for Markov Regime Switching Models
• Nonlinear dynamics of the Nikkei stock average futures
• Stationarity and geometric ergodicity of a class of nonlinear ARCH models

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