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Glossary to ARCH (GARCH) · Study

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PreprintGlossary to ARCH (GARCH)

Tim Bollerslev2008

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Preprintgreen2008

Glossary to ARCH (GARCH)

172 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Stock Market Forecasting Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2002Dynamic Conditional Correlation 2012The Econometrics of Financial Markets 1995Multivariate Simultaneous Generalized ARCH

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Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations172

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1263250

openalex_workW2104798680

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