SStudyAcademic Library

Dashboard Shelves Open access My library Review

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

Unobserved component time series models with Arch disturbances · Study

ArticleShelves

ArticleUnobserved component time series models with Arch disturbances

Andrew C. Harvey1992

OA

Articlegreen1992

Unobserved component time series models with Arch disturbances

Andrew C. Harvey · Esther Ruiz · Enrique Sentana

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

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

Financial Risk and Volatility Modeling Time Series Analysis and Forecasting Statistical and numerical algorithms

Abstract

No abstract was published for this record.

Citations in this library

Stored only when both papers are in the corpus — 329 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1976The arbitrage theory of capital asset pricing 1990Forecasting, Structural Time Series Models and the Kalman Filter 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 1986Modelling the persistence of conditional variances 1988Mean reversion in stock prices

Cited by

2006Chapter 15 Volatility and Correlation Forecasting 2018Oil volatility, oil and gas firms and portfolio diversification 2001Identification, estimation and testing of conditionally heteroskedastic factor models 2012Exchange return co-movements and volatility spillovers before and after the introduction of euro 2003Temporal aggregation of volatility models 2013Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets 19967 GARCH models of volatility 2008Glossary to ARCH (GARCH)

Details

Year1992

Typearticle

Published1992-04-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations329

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/0304-4076(92)90068-3

openalex_workW1995864121

Links

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