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A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones
16 references·5 citing·22 second hop
A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones (2005)A long-run Pure Variance Common Features …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…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…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…COINTEGRATION AND ERROR CORRECTION: REPRESENTATION (1987)COINTEGRATION AND ERROR CORRE…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals (2020)Generalized dynamic factor mo…A Vector Heterogeneous Autoregressive Index Model for Realized Volatility Measures (2016)A Vector Heterogeneous Autore…Dow Jones sustainability index transmission to oil stock market returns: A GARCH approach (2012)Dow Jones sustainability inde…Common Intraday Periodicity (2011)Common Intraday PeriodicityNonlinear autoregressive leading indicator models of output in G‐7 countries (2007)Nonlinear autoregressive lead…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Econometric Analysis of Cross Section and Panel Data (2001)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)A long memory property of stock market returns and a new model (1993)
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References

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  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
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  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
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  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

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723 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
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    • 2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals39 cited
    • 2016A Vector Heterogeneous Autoregressive Index Model for Realized Volatility Measures35 cited
    • 2012Dow Jones sustainability index transmission to oil stock market returns: A GARCH approach35 cited
    • 2011Common Intraday Periodicity26 cited
    • 2007Nonlinear autoregressive leading indicator models of output in G‐7 countries17 cited