Finance Readings

• ARCH/GARCH ETC
• Akgiray, 1989, Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts, JB.
• Akgiray and Booth and Hatem and Mustafa, 1991, Conditional Dependence in Precious Metal Prices, The Financial Review.
• Bera and Bubnys and Park, 1988, Conditional Heteroscedasticity in the Market Model and Efficient Estimates of Betas, The Financial Review.
• Bera and Higgins, 1992, A Test for Conditional Heteroskedasticity in Time Series Models, Journal of Time Series.
• **Bera and Higgins, 1993, ARCH Models: Properties, Estimation and Testing, J of Economic Surveys (Vol. 7 No. 4 pp305-362). This is the best ARCH Review Paper I have seen. It is much clearer and more intuitive than Bollerslev et al 1992, or Bollerslev et al 1994.
• Bera and Higgins, 1996, ARCH and Bilinearity as Competing Models for Nonlinear Dependence, Forthcoming J of Business and Economic Statistics.
• Bera and Higgins and Lee, 1992, Interaction Between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach, J of Business and Economic Statistics.
• Bodurtha and Mark, 1991, Testing the CAPM with Time-Varying Risks and Returns, JOF, 46(4), September, pp1485-1505..
• Bollerslev, 1986, Generalized Autoregressive Conditional Heteroskedasticity, J of Econometrics.
• Bollerslev, 1987, A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return, RES.
• Bollerslev, 1990, Modelling the Coherence in Short Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model, Review of Economics and Statistics.
• Bollerslev and Chou and Kroner, 1992, ARCH Modeling in Finance, J of Econometrics.
• Bollerslev and Engle and Nelson, 1994, ARCH Models, Chapter 49 of the Handbook of Econometrics.
• Diebold, 1986, Testing for Serial Correlation in the Presence of ARCH, Proceedings of the Business and Economic Statistics Section ASA.
• Diebold and Im and Lee, 1993, A Note on Conditional Heteroskedasticity in the Market Model, J of Accounting, Auditing and Finance.
• Diebold and Nerlove, 1989, The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model, J of Applied Econometrics.
• Duan, 1995, The GARCH Option Pricing Model (incl. ARCH and Options), Mathematical Finance.
• Engle, 1982, Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica.
• Engle, 1991, Volatility: Statistical Models for Financial Data, WP Notes UCSD.
• Engle, 1993, Statistical Models for Financial Volatility [low tech summary of types of ARCH models], FAJ, 49(1), pp72-78 (2 copies).
• Engle and Bollerslev, 1986, Modelling the Persistence of Conditional Variances, Econometric Reviews (incl. Comments from Diebold, Geweke, Pantula, Zin, and Hendry's "An Excursion into Conditional Varianceland").
• Engle and Gonzalez-Rivera, 1991, Semiparametric ARCH Models, J of Business and Economic Statistics (2 copies).
• Engle and Hendry and Trumble, 1985, Small Sample Properties of ARCH Estimators and Tests, Canadian Journal of Economics.
• Engle and Ito and Lin, 1990, Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market, Econometrica.
• Engle and Lilien and Robins, 1987, Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model, Econometrica.
• Engle and Mustafa, 1992, Implied ARCH Models from Option Prices (incl. ARCH and Options), JET (2 copies).
• Engle and Ng, 1991, Measuring and Testing the Impact of News on Volatility, WP UCSD.
• Engle and Rothschild, 1992, Editors Introduction to Statistical Models for Financial Volatility, J of Econometrics.
• Fornari and Mele, 1994, Asymmetries and Nonlinearities in Economic Activity (incl. GARCH and business cycle), Bank of Italy Research Report.
• Higgins and Bera, 1992, A Class of Nonlinear ARCH Models, IER.
• (IB) Laux and Ng, 1993, The Sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks, Journal of International Money and Finance, Vol 12 No 5, (October), pp543-560.
• Morgan and Morgan, 1987, Measurement of Abnormal Returns from Small Firms, Journal of Business and Economic Statistics.
• (IB) Nelson, 1990, Stationarity and Persistence in the GARCH(1,1) Model, Econometric Theory.
• Nelson, 1991, Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica.
• Nelson, 1992, Filtering and Forecasting with Misspecified ARCH Models I, J of Econometrics.
• Nelson and Cao, 1992, Inequality Constraints in the Univariate GARCH Model, J of Business and Economic Statistics.
• Nelson and Foster, 1994, Asymptotic Filtering Theory for Univariate ARCH Models, Econometrica.
• Nelson and Foster, 1995, Filtering and Forecasting with Misspecified ARCH Models II: Making the Right Forecast with the Wrong Model, JFE.
• Rich and Raymond and Butler, 1992, The Relationship Between Forecast Dispersion and Forecast Uncertainty: Evidence from a Survey Data - ARCH Model, J of Applied Econometrics.
• Schwert and Seguin, 1990, Heteroskedasticity in Stock Prices, JOF.
• Song, 1990, A Two Factor ARCH Model for Deposit Institution Stock Returns, WP Ohio State U (plus 1994 version in J of Money, Credit and Banking).
• Taylor, 1994, Modeling Stochastic Volatility: A Review and Comparative Study.
• Taylor, 1994, Predicting the Volatility of Stock Prices Using ARCH Models (incl. ARCH and Options), with UK Examples, Managerial Finance.
• Weiss, 1984, ARMA Models with ARCH Errors, Journal of Time Series Analysis.
• Xu and Taylor, 1995, Conditional Volatility and the Informational Efficiency of the PHLX Currency Options Market (incl. ARCH and Options), Journal of Banking and Finance, Vol 19, pp803-821.
• Zakoian, 1994, Threshold Heteroskedastic Models, J of Economic Dynamics and Control.

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