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GARCH model selection criteria
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GARCH model selection criteria (2003)GARCH model selection criteriaModelling Financial Time Series (2007)Modelling Financial Time Seri…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A long memory property of stock market returns and a new model (1993)A long memory property of sto…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Fitting autoregressive models for prediction (1969)Fitting autoregressive models…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Econometric Analysis of Cross Section and Panel Data (2001)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models (2001)Tourism as a long-run economic growth factor: the Spanish case (2002)Estimation of Panel Vector Autoregression in Stata (2016)
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References

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  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
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  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1969Fitting autoregressive models for prediction2,483 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
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  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets

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1,471 cited
  • 2007Modelling Financial Time Series1,415 cited
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