研究论文
ARCH modeling in finance
Tim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner
Northwestern University Georgia Institute of Technology University of Arizona
来源Journal of Econometrics
年份1992
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学术脉络
学科主题
经济 / 管理Complex Systems and Time Series Analysis
Financial Risk and Volatility Modeling · Market Dynamics and Volatility
参考文献 323
Non-Parametric Estimation and the Risk Premium
被引 61Adrian Pagan, Yongmiao Hong · UR Research (University of Rochester) · 1988
Estimating the Variances of Autocorrelations Calculated from Financial Time Series
被引 33Stephen J. Taylor · Journal of the Royal Statistical Society Series C (Applied Statistics) · 1984
On the formulation of a general structure for conditional heteroskedasticity
被引 17Anil K. Bera, Sangkyu Lee · Illinois Digital Environment for Access to Learning and Scholarship (University of Illinois at Urbana-Champaign) · 1989
此处列出前 3 条
引用本文 4,378
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
被引 8,724Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993
Dynamic Conditional Correlation
被引 7,150Robert F. Engle · Journal of Business and Economic Statistics · 2002
Multivariate Simultaneous Generalized ARCH
被引 4,575Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995
按被引量排序，此处列出前 3 条