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Exact predictive densities for linear models with arch disturbances · Study

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ArticleExact predictive densities for linear models with arch disturbances

John F Geweke1989

Article1989

Exact predictive densities for linear models with arch disturbances

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

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Markov Chains and Monte Carlo Methods

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 124 citations exist upstream.

References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1977Time Series Analysis: Forecasting and Control 1986Modelling the persistence of conditional variances 1983Forecasting and Conditional Projection Using Realistic Prior Distributions 1984Forecasting and conditional projection using realistic prior distributions 1983Estimates of the Variance of U. S. Inflation Based upon the ARCH Model

Cited by

2006Chapter 1 Bayesian Forecasting 2005Volatility Forecasting 1991The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function 2006VOLATILITY AND CORRELATION FORECASTING 1992A contribution to event study methodology with an application to the Dutch stock market 1991A posterior odds analysis of the weekend effect 2001Modeling and Forecasting Realized Volatility 2002Parametric and Nonparametric Volatility Measurement

Details

Year1989

Typearticle

Published1989-01-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations124

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/0304-4076(89)90030-4

openalex_workW2070928535

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