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Prediction in ARMA Models with GARCH in Mean Effects
16 references·4 citing·25 second hop
Prediction in ARMA Models with GARCH in Mean Effects (2001)Prediction in ARMA Models with GARCH in M…A Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)ARCH MODELS: PROPERTIES, ESTI…Stock market volatility and the information content of stock index options (1992)Stock market volatility and t…No news is good news (1992)No news is good newsInterest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …ARCH modeling in finance (1992)ARCH modeling in financeEstimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Forecasting Economic Time Series (1979)Forecasting Economic Time Ser…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Analytic moments for GJR-GARCH (1, 1) processes (2020)Analytic moments for GJR-GARC…Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management (2008)Multistep predictions for mul…Analyzing US inflation by a GARCH model with simultaneous feedback (2004)Analyzing US inflation by a G…Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model (2002)Moments and dynamic structure…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Econometric Analysis of Cross Section and Panel Data (2001)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)International Asset Allocation With Regime Shifts (2002)An Almost Ideal Demand System (1980)Empirical exchange rate models of the seventies (1983)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1992No news is good news1,929 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1979Forecasting Economic Time Series1,004 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited

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  • 1992Stock market volatility and the information content of stock index options667 cited
  • Cited by

    • 2002Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model34 cited
    • 2004Analyzing US inflation by a GARCH model with simultaneous feedback25 cited
    • 2008Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management22 cited
    • 2020Analytic moments for GJR-GARCH (1, 1) processes20 cited