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

ARCH models as diffusion approximations · Study

ArticleShelves

ArticleARCH models as diffusion approximations

Unknown author1990

Article1990

ARCH models as diffusion approximations

Unknown author

943 citations·0/0 files stored·Journal of Econometrics

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 Complex Systems and Time Series Analysis

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 — 943 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 1973An Intertemporal Capital Asset Pricing Model 1979Option pricing: A simplified approach 1987Expected stock returns and volatility 1980Irreversibility, Uncertainty, and Cyclical Investment 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

Cited by

1991Chaos and Nonlinear Dynamics: Application to Financial Markets 1996Testing Continuous-Time Models of the Spot Interest Rate 2003Alternative models for stock price dynamics 1996The econometrics of financial markets 1994Chapter 49 Arch models 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets

Related works

Explore the map →

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

1996Conditional Heteroskedasticity in Asset Returns: A New Approach**Reprinted from Econometrica59 (1991), 347–370.chapter · 10 shared references 1994Chapter 49 Arch modelschapter · 9 shared references 1996The econometrics of financial marketsarticle · 8 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 8 shared references 1996Filtering and Forecasting With Misspecified Arch Models I: Getting The Right Variance With The Wrong Model*chapter · 8 shared references 1992Filtering and forecasting with misspecified ARCH models Iarticle · 8 shared references

Details

Year1990

Typearticle

Published1990-07-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations943

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/0304-4076(90)90092-8

openalex_workW1994177366

Links

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

1993

ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING

1996Statistical aspects of ARCH and stochastic volatility