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The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes · Study

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PreprintThe Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes

Robert F. Engle2006

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Preprintgreen2006

The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes

Robert F. Engle · José Gonzalo Rangel

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

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

2001Econometric Analysis of Cross Section and Panel Data 1986Generalized autoregressive conditional heteroskedasticity 1993Finance and Growth: Schumpeter Might Be Right 2006Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure 2003Modeling and Forecasting Realized Volatility 1989Why Does Stock Market Volatility Change Over Time?1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

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2008Glossary to ARCH (GARCH)2016The volatility of a firm's assets and the leverage effect 2008How Markets Slowly Digest Changes in Supply and Demand 2008The virtues and vices of equilibrium and the future of financial economics 2007Time-Varying Integration and International Diversification Strategies 2021Taxing Profit in a Global Economy

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2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causespreprint · 15 shared references 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causesarticle · 14 shared references 2013Financial Risk Measurement for Financial Risk Managementchapter · 7 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 6 shared references 2005Breaks and persistency: macroeconomic causes of stock market volatilityarticle · 6 shared references 2010Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Modelsarticle · 6 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations193

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.939447

openalex_workW2167055115

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2016Risk Everywhere: Modeling and Managing Volatility

2020Man vs. Machine: Quantitative and Discretionary Equity Management