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Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
14 references·6 citing·31 second hopsampled
Estimation of GARCH Models from the Autocorrelations of the Squares of a Process (2001)Estimation of GARCH Models from the Autoc…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Chapter 49 Arch models (1994)Chapter 49 Arch modelsA long memory property of stock market returns and a new model (1993)A long memory property of sto…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Bivariate garch estimation of the optimal commodity futures Hedge (1991)Bivariate garch estimation of…ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS (1988)ON THE CORRELATION STRUCTURE …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement (1982)The Distribution of Foreign E…Change Point Analysis of Correlation in Non-stationary Time Series (2017)Change Point Analysis of Corr…Deciding between GARCH and stochastic volatility via strong decision rules (2009)Deciding between GARCH and st…ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL (2009)ASYMPTOTIC THEORY FOR A FACTO…Structural change and estimated persistence in the GARCH(1,1)-model (2007)Structural change and estimat…Long memory with Markov-Switching GARCH (2007)Long memory with Markov-Switc…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)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling and Forecasting Realized Volatility (2001)Stock market volatility, excess returns, and the role of investor sentiment (2002)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)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)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)ARCH modeling in finance (1992)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Time-changed Lévy processes and option pricing (2003)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Realized Volatility: A Review (2008)A test for constant correlations in a multivariate GARCH model (2000)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin (2019)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1994Chapter 49 Arch models880 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
  • 1991Bivariate garch estimation of the optimal commodity futures Hedge729 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
  • 1982The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement308 cited
  • 1988ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS223 cited

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Cited by

  • 2007Long memory with Markov-Switching GARCH52 cited
  • 2009ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL46 cited
  • 2002Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model34 cited
  • 2007Structural change and estimated persistence in the GARCH(1,1)-model29 cited
  • 2017Change Point Analysis of Correlation in Non-stationary Time Series25 cited
  • 2009Deciding between GARCH and stochastic volatility via strong decision rules24 cited