ChapterStatistical aspects of ARCH and stochastic volatilityNeil Shephard1996Statistical aspects of ARCH and stochastic volatilityNeil Shephard1996-01-01chapterSpringer eBooks749 citationsclosedNo readable copy stored yet — this record is metadata only.Financial Risk and Volatility ModelingStochastic processes and financial applicationsComplex Systems and Time Series AnalysisAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 749 citations exist upstream.References1973The Pricing of Options and Corporate Liabilities1986Generalized autoregressive conditional heteroskedasticity1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1991Conditional Heteroskedasticity in Asset Returns: A New Approach1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options1965The Behavior of Stock-Market Prices1976The arbitrage theory of capital asset pricingCited by2002Empirical pricing kernels1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns2004Bootstrapping autoregressions with conditional heteroskedasticity of unknown form2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements2010Parametric and Nonparametric Volatility Measurement2009Multivariate GARCH Models2006Stochastic volatility with leverage: Fast and efficient likelihood inference1996Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns