SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

7 GARCH models of volatility · Study

ChapterShelves

Chapter7 GARCH models of volatility

Franz C. Palm1996

Chapter1996

7 GARCH models of volatility

173 citations·0/0 files stored·Handbook of statistics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 173 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1995Multivariate Simultaneous Generalized ARCH 1992ARCH modeling in finance 1987Expected stock returns and volatility 1987The Pricing of Options on Assets with Stochastic Volatilities

Cited by

2008Glossary to ARCH (GARCH)2003Multivariate GARCH Models: A Survey 1998GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model 2003An Analysis of Covariance Risk and Pricing Anomalies 1999FOURTH MOMENT STRUCTURE OF THE GARCH( p , q ) PROCESS 2005Volatility Forecasting

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2005Volatility Forecastingreport · 41 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 40 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 38 shared references 2008Glossary to ARCH (GARCH)preprint · 36 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 35 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 32 shared references

Details

Year1996

Typechapter

Published1996-01-01

VenueHandbook of statistics

ISSN-L0169-7161

Languageen

Citations173

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/s0169-7161(96)14009-8

openalex_workW1590326324

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2008

Multivariate GARCH models To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds. Handbook of Financial Time Series. New York: Springer.

2002Nonlinear Features of Realized FX Volatility