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Semiparametric and Nonparametric ARCH Modeling
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Semiparametric and Nonparametric ARCH Modeling (2009)Semiparametric and Nonparametric ARCH Mod…MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)MIXING AND MOMENT PROPERTIES …The variation of certain speculative prices (1997)The variation of certain spec…Chapter 49 Arch models (1994)Chapter 49 Arch modelsOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Alternative models for conditional stock volatility (1990)Alternative models for condit…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…The econometrics of ultra-high frequency data /The econometrics of ultra-hig…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
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  • 1963The Variation of Certain Speculative Prices4,851 cited
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  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
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  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1994Chapter 49 Arch models880 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited

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2002
MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
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