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A Note on Non‐Negative Arma Processes
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A Note on Non‐Negative Arma Processes (2006)A Note on Non‐Negative Arma ProcessesNEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL (2009)NEGATIVE VOLATILITY SPILLOVER…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Lévy-driven and fractionally integrated ARMA processes with continuous time parameter (2005)Lévy-driven and fractionally …Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Analysis of Financial Time Series (2002)Analysis of Financial Time Se…Analysis of financial time series : financial econometrics (2002)Analysis of financial time se…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Discussion of "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics" by Barndorff-Nielsen and Shephard (2001)Discussion of "Non-Gaussian O…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Pricing foreign currency options with stochastic volatility (1990)Pricing foreign currency opti…Conditional Heteroscedastic Time Series Models (1987)Conditional Heteroscedastic T…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Wishful Thinking in Macroeconomic Expectations (2021)Wishful Thinking in Macroecon…A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL (2008)A NOTE ON INEQUALITY CONSTRAI…An Intertemporal General Equilibrium Model of Asset Prices (1985)The Pricing of Options on Assets with Stochastic Volatilities (1987)All in the family Nesting symmetric and asymmetric GARCH models (1995)Predicting Volatility in the Foreign Exchange Market (1995)Statistical aspects of ARCH and stochastic volatility (1996)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)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)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)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Forecasting Volatility in Financial Markets: A Review (2003)Econometric Analysis of Cross Section and Panel Data (2001)Quadratic ARCH Models (1995)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Parametric and Nonparametric Volatility Measurement (2010)Multivariate Stochastic Volatility: A Review (2006)Metal volatility in presence of oil and interest rate shocks (2007)Modelling Nonlinear Economic Time Series (2010)
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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
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 2002Analysis of Financial Time Series902 cited
  • 1990Pricing foreign currency options with stochastic volatility749 cited
  • 1992Inequality Constraints in the Univariate GARCH Model611 cited
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  • 1987Conditional Heteroscedastic Time Series Models264 cited
  • 2009NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL111 cited
  • 2005Lévy-driven and fractionally integrated ARMA processes with continuous time parameter103 cited
  • 2002Analysis of financial time series : financial econometrics94 cited

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  • 2001Discussion of "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics" by Barndorff-Nielsen and Shephard73 cited
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    • 2008A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL28 cited
    • 2021Wishful Thinking in Macroeconomic Expectations0 cited