A stochastic variance model for absolute returns
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference6 articles.
1. Handbook of mathematical functions;Abramowitz,1970
2. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986
3. A long memory property of stock market returns and a new model;Ding;Journal of Empirical Finance,1993
4. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation;Engle;Econometrica,1982
5. The econometrics of stochastic volatility;Harvey,1993
Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes;Statistics & Probability Letters;2009-08
2. The Sign of A Mean Regression: Characterisation, Estimation and Applications;SSRN Electronic Journal;2001
3. Effects of index option introduction on stock index volatility: a procedure for empirical testing based on SSC-GARCH models;Applied Financial Economics;2000-06
4. Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets;Journal of Banking & Finance;2000-05
5. Forecasting exchange rate volatility using autoregressive random variance model;Applied Financial Economics;1999-12
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3