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Modeling volatility changes in the 10-year Treasury · Study

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ArticleModeling volatility changes in the 10-year Treasury

Guillermo Covarrubias2006

Article2006

Modeling volatility changes in the 10-year Treasury

Guillermo Covarrubias · Bradley T. Ewing · Scott E. Hein · Mark A. Thompson

21 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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

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References

1986Generalized autoregressive conditional heteroskedasticity 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 1987Expected stock returns and volatility 1989Why Does Stock Market Volatility Change Over Time?1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1988A Capital Asset Pricing Model with Time-Varying Covariances 1980On estimating the expected return on the market

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Year2006

Typearticle

Published2006-02-22

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2006.01.074

openalex_workW1973673408

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