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Alternative Asymmetric Stochastic Volatility Models
16 references·9 citing·24 second hop
Alternative Asymmetric Stochastic Volatility Models (2011)Alternative Asymmetric Stochastic Volatil…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Alternative models for stock price dynamics (2003)Alternative models for stock …Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Statistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Alternative models for conditional stock volatility (1990)Alternative models for condit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Expected stock returns and volatility (1987)Expected stock returns and vo…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Studies of stock market volatility changes (1976)Studies of stock market volat…Do ESG Ratings Reduce the Asymmetry Behavior in Volatility? (2022)Do ESG Ratings Reduce the Asy…Volatility and dynamic dependence modeling: Review, applications, and financial risk management (2021)Volatility and dynamic depend…Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility (2020)Estimating Stochastic Volatil…An empirical application of a stochastic volatility model with GH skew Student's t -distribution to the volatility of Latin-American stock returns (2018)An empirical application of a…Realized stochastic volatility with general asymmetry and long memory (2017)Realized stochastic volatilit…Asymmetric Stochastic Volatility Models: Properties and Estimation (2015)Asymmetric Stochastic Volatil…Time-varying mixture GARCH models and asymmetric volatility (2013)Time-varying mixture GARCH mo…Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range (2012)Heterogeneous Asymmetric Dyna…The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges (2009)The Ten Commandments for Opti…The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Book Review: Time Series Analysis: Forecasting and Control (1977)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Measuring Uncertainty (2015)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Econometric Analysis of Cross Section and Panel Data (2001)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Analysis of Financial Time Series (2006)Modelling of extremal events in insurance and finance (1994)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 1992ARCH modeling in finance4,343 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,161 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2007Modelling Financial Time Series1,491 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 2003Alternative models for stock price dynamics893 cited
  • 1976Studies of stock market volatility changes

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885 cited
  • 1996Statistical aspects of ARCH and stochastic volatility749 cited
  • Cited by

    • 2013Time-varying mixture GARCH models and asymmetric volatility33 cited
    • 2017Realized stochastic volatility with general asymmetry and long memory30 cited
    • 2021Volatility and dynamic dependence modeling: Review, applications, and financial risk management23 cited
    • 2009The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges21 cited
    • 2012Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range18 cited
    • 2022Do ESG Ratings Reduce the Asymmetry Behavior in Volatility?17 cited
    • 2015Asymmetric Stochastic Volatility Models: Properties and Estimation16 cited
    • 2018An empirical application of a stochastic volatility model with GH skew Student's t -distribution to the volatility of Latin-American stock returns16 cited
    • 2020Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility16 cited