Finance Readings
Timothy Falcon Crack. Indiana University
School of Business.
- 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.
Материалы по GARCH-моделям
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