Библиография по ARCH моделям

• Akaike, H. (1973), "Information Theory and an Extension of the Maximum Likelihood Principle," in Second International Symposium on Information Theory, (eds. B.N. Petrov and F. Csбki) Akadйmiai Kiadу, Budapest.
• Amemiya, Takeshi (1985). Advanced Econometrics. Harvard University Press, Cambridge, MA.
• Amin, Kaushik I. and Victor K. Ng (1992), "Equilibrium Option Valuation with Systematic Stochastic Volatility," unpublished manuscript, Department of Finance, University of Michigan.
• Andersen, Torben G. (1992a), "Volatility," unpublished manuscript, J.L. Kellogg Graduate School of Management, Northwestern University.
• Andersen, Torben G. (1992b), "Return Volatility and Trading Volume in Financial Markets: An Information Flow Interpretation of Stochastic Volatility," unpublished manuscript, J.L. Kellogg Graduate School of Management, Northwestern University.
• Anderson, Theodore W. (1971), The Statistical Analysis of Time Series. John Wiley and Sons, New York, NY.
• Attanasio, Orazio (1991), "Risk, Time-Varying Second Moments and Market Efficiency," Review of Economic Studies, 58, 479-494.
• Baek, E. G. and William A. Brock (1992), "A Nonparamteric Test for Independence of a Multivariate Time Series," Statistica Sinica, 2, 137-156.
• Baillie, Richard T. and Tim Bollerslev (1989), "The Message in Daily Exchange Rates: A Conditional Variance Tale," Journal of Business and Economic Statistics, 7, 297-305.
• Baillie, Richard T. and Tim Bollerslev (1990), "A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Rate Markets," Journal of International Money and Finance, 9, 309-324.
• Baillie, Richard T. and Tim Bollerslev (1991), "Intra Day and Inter Day Volatility in Foreign Exchange Rates," Review of Economic Studies, 58, 565-585.
• Baillie, Richard T. and Tim Bollerslev (1992), "Prediction in Dynamic Models with Time Dependent Conditional Variances," Journal of Econometrics, 52, 91-113.
• Baillie, Richard T., Tim Bollerslev and Hans O. Mikkelsen (1993), "Fractionally Integrated Autoregesssive Conditional Heteroskedasticity," unpublished manuscript, J.L. Kellogg Graduate School of Management, Northwestern University.
• Bekaert, Geert and Robert J. Hodrick (1993), "On Biases in the Measurement of Foreign Exchange Risk Premiums," Journal of International Money and Finance, 12, 115-138.
• Bera, Anil K., Michael L. Higgins and S. Lee (1993), "Interaction Between Autocorrelation and Conditional Heteroskedasticity: A Random Coefficients Approach," Journal of Business and Economic Statistics, 10, 133-142.
• Bera, Anil K. and Matthew L. Higgins (1992), "A Survey of ARCH Models: Properties, Estimation and Testing," unpublished manuscript, Department of Economics, University of Illinois, Urbana-Champaign.
• Bera, Anil K. and S. Lee (1992), "Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis," Review of Economic Studies, 60, 229-240.
• Bera, Anil K. and Roh J-S. (1991), "A Moment Test of the Constancy of the Correlation Coefficient in the Bivariate GARCH Model," unpublished manuscript, Department of Economics, University of Illinois, Urbana-Champaign.
• Berndt E.R., B.H. Hall, R.E. Hall, and J.A. Haussman (1974), "Estimation and Inference in Nonlinear Structural Models,"Annals of Economic and Social Measurement, 4, 653-665.
• Black, Fischer (1976), "Studies of Stock Price Volatility Changes," Proceedings from the American Statistical Association, Business and Economic Statistics Section, 177-181.
• Black, Fischer and Myron Scholes (1973), "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81, 637-659.
• Blattberg, Robert C. and Nicholas J. Gonedes (1974), "A Comparison of the Stable and Student Distribution of Statistical Models for Stock Prices," Journal of Business, 47, 244-280.
• Bollerslev, Tim (1986), "Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, 31, 307-327.
• Bollerslev, Tim (1987), "A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," Review of Economics and Statistics, 69, 542-547.
• Bollerslev, Tim (1988), "On the Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process," Journal of Time Series Analysis, 9, 121-131.
• Bollerslev, Tim (1990), "Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Approach," Review of Economics and Statistics, 72, 498-505.
• Bollerslev, Tim, Ray Y. Chou and Kenneth F. Kroner (1992), "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence," Journal of Econometrics, 52, 5-59.
• Bollerslev, Tim and Ian Domowitz (1993), "Trading Patterns and the Behavior of Prices in the Interbank Foreign Exchange Market," Journal of Finance, forthcoming.
• Bollerslev, Tim and Robert F. Engle (1993), "Common Persistence in Conditional Variances," Econometrica, 61, 166-187.
• Bollerslev, Tim, Robert F. Engle and Jeffrey M. Wooldridge (1988), "A Capital Asset Pricing Model with Time Varying Covariances," Journal of Political Economy, 96, 116-131.
• Bollerslev, Tim and Michael Melvin (1993), "Bid-Ask Spreads in the Foreign Exchange Market: An Empirical Analysis," Journal of International Economics, forthcoming.
• Bollerslev, Tim and Jeffrey M. Wooldridge (1992), "Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with time Varying Covariances," Econometric Reviews, 11, 143-172.
• Bougerol, Philippe and Nico Picard (1991), "Stationarity of GARCH Processes and of Some Non-Negative Time Series," Journal of Econometrics, 52, 115-128.
• Box, George E. P., and G.M. Jenkins (1976). Time Series Analysis: Forecasting and Control. Holden Day, Second Edition, San Francisco, CA.
• Braun, Phillip A., Daniel B. Nelson and Alain M. Sunier (1992) "Good News, Bad News, Volatility, and Betas," unpublished manuscript, Graduate School of Business, University of Chicago.
• Breusch, Trevor and Adrian R. Pagan (1979), "A Simple Test for Heterskedasticity and Random Coefficient Variation," Econometrica, 47, 1287-1294.
• Brock, William A., W. D. Dechert and J. A. Sheinkman (1987), "A Test for Independence Based on the Correlation Dimension," unpublished manuscript, Department of Economics, University of Wisconsin, Madison.
• Brock, William A. David A. Hsieh and Blake LeBaron (1991). Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence. MIT Press, Cambridge, MA.
• Brock, William A. and Allan Kleidon (1992), "Periodic Market Closure and Trading Volume: A Model of Intra Day Bids and Asks," Journal of Economic Dynamics and Control, 16, 451-489.
• Brock, William A., and Simon M. Potter (1992), "Nonlinear Time Series and Macroeconometrics," unpublished manuscript, Department of Economics, University of Wisconsin, Madision.
• Cai, Jun (1992), "A Markov Model of Unconditional Variance in ARCH," Journal of Business and Economic Statistics, forthcoming.
• Campbell, John Y. and Ludger Hentschel (1992) "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," Journal of Financial Economics, 31, 281-318.
• Chou, Ray Y. (1988), "Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH," Journal of Applied Econometrics, 3, 279-294.
• Christie, Andrew A. (1982), "The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects," Journal Financial Economics, 10, 407-432.
• Clark, Peter K. (1973), "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, 41, 135-156.
• Cornell, Bradford (1978), "Using the Options Pricing Model to Measure the Uncertainty Producing Effect of Major Announcements," Financial Management, 7, 54-59.
• Crowder, M.J. (1976), "Maximum Likelihood Estimation with Dependent Observations," Journal of the Royal Statistical Society, 38, 45-53.
• Davidian, M. and R. J. Carroll (1987), "Variance Function Estimation," Journal of the American Statistical Association, 82, 1079-1091.
• Davies, R. B. (1977), "Hypothesis Testing when a Nuisance Parameter is Present only under the Null Hypothesis," Biometrika, 64, 247-254.
• Day, Theodore E. and Craig M. Lewis (1991), "Stock Market Volatility and the Information Content of Stock Index Options," Journal of Econometrics, 52, 267-288.
• Demos, Antonis and Enrique Sentana (1991), "Testing for GARCH Effects: A One-Sided Approach," unpublished manuscript, London School of Economics.
• Diebold, Francis X. (1987), "Testing for Serial Correlation in the Presence of ARCH," Proceedings from the American Statistical Association, Business and Economic Statistics Section, 323-328.
• Diebold, Francis X. (1988). Empirical Modeling of Exchange Rate Dynamics. Springer Verlag, New York, NY.
• Diebold, Francis X. and Mark Nerlove (1989), "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model," Journal of Applied Econometrics, 4, 1-21.
• Ding, Z., Robert F. Engle, and C. W. J. Granger (1993), "Long Memory Properties of Stock Market Returns and a New Model," Journal of Empirical Finance, 1, 83-106.
• Drost, Feike C. and Theo E. Nijman (1993), "Temporal Aggregation of GARCH Processes," Econometrica, 61, 909-297.
• Engle, Robert F. (1982), "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation," Econometrica, 50, 987-1008.
• Engle, Robert F. (1984), "Wald, Likelihood Ration, and Lagrange Multiplier Tests in Econometrics," in Handbook of Econometrics, Vol. II, (eds. Z Griliches and M.D. Intriligator), North-Holland, Amsterdam, forthcoming.
• Engle, Robert F. (1987), "Multivariate GARCH with Factor Structures - Cointegration in Variance," unpublished manuscript, Department of Economics, UCSD.
• Engle, Robert F. (1990), "Discussion: Stock Market Volatility and the Crash of 87," Review of Financial Studies, 3, 103-106.
• Engle, Robert F. and Tim Bollerslev (1986), "Modelling the Persistence of Conditional Variances," Econometric Reviews, 5 1-50, 81-87.
• Engle, Robert F. and Gloria Gonzalez-Rivera (1991), "Semiparametric ARCH Models," Journal of Business and Economic Statistics, 9, 345-359.
• Engle, Robert F. and C.W.J. Granger (1987), "Cointegration and Error Correction: Representation, Estimation and Testing," Econometrica, 55,251-276.
• Engle, Robert F., David F. Hendry and David Trumble (1985), "Small Sample Properties of ARCH Estimators and Tests," Canadian Journal of Economics, 18, 66-93.
• Engle, Robert F., Che-Hsiung (Ted) Hong, Alex Kane, and Jaesun Noh (1993), "Arbitrage Valuation of Variance Forecasts with Simulated Options," in Advances in Futures and Options Research, (eds. Don M. Chance and Robert R. Trippi), JAI Press, Greenwich, Conn.
• Engle, Robert F. Takatoshi Ito and Wen-Ling Lin (1990), "Meteor Showers or Heat Waves? Heteroskedastic Intra Daily Volatility in the Foreign Exchange Market," Econometrica, 58, 525-542.
• 82
• Engle, Robert F. and Sharon Kozicki (1993), "Testing for Common Features," Journal of Business and Economic Statics, forthcoming.
• Engle, Robert F. and Kenneth F. Kroner (1993), "Multivariate Simultaneous Generalized ARCH," unpublished manuscript, Department of Economics, UCSD.
• Engle, Robert F., David M. Lilien and Russell P. Robins (1987), "Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model," Econometrica, 55, 391-407.
• Engle, Robert F. and Gary G. J. Lee (1992), "A Permanent and Transitory Component Model of Stock Return Volatility," unpublished manuscript, Department of Economics, UCSD.
• Engle, Robert F. and Gary G. J. Lee (1993), "Long Run Volatility Forecasting for Individual Stocks in a One Factor Model," unpublished manuscript, Department of Economics, UCSD.
• Engle, Robert F. and Chowdhury Mustafa (1992), "Implied ARCH Models from Options Prices," Journal of Econometrics, 52, 289-311.
• Engle, Robert F. and Victor K. Ng (1992), "Measuring and Testing the Impact of News on Volatility," Journal of Finance, forthcoming.
• Engle, Robert F., Victor Ng and Michael Rothschild (1990), "Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills," Journal of Econometrics, 45, 213-238.
• Engle Robert F. and Raul Susmel (1993), "Common Volatility in International Equity Markets," Journal of Business and Economic Statistics, 11, 167-176.
• Ethier, S. N. and T. G. Kurtz (1986). Markov processes: Characterization and Convergence. John Wiley, New York, NY.
• Fama, Eugene F. (1963), "Mandelbrot and the Stable Paretian Distribution," Journal of Business, 36, 420-429.
• Fama, Eugene F. (1965), "The Behavior of Stock Market Prices," Journal of Business, 38, 34-105.
• Foster, Dean P. and Daniel B. Nelson (1991), "Rolling Regressions," unpublished manuscript, Graduate School of Business, University of Chicago.
• French, Kenneth R. and Richard Roll (1986), "Stock Return Variances: The Arrival of Information and the Reaction of Traders," Journal of Financial Economics, 17, 5-26.
• French, Kenneth R., G. William Schwert and Robert F. Stambaugh (1987), "Expected Stock Returns and Volatility," Journal of Financial Economics, 19, 3-30.
• Gallant, A. Ronald, David A. Hsieh and George Tauchen (1991), "On Fitting a Recalcitrant Series: The Pound/Dollar Exchange Rate 1974-83," in Nonparametric and Semiparametric Methods in Econometrics and Statistics, (eds. William A. Barnett, Jim Powell and George Tauchen), Cambridge University Press, Cambridge.
• Gallant, A. Ronald, Peter E. Rossi and George Tauchen (1992), "Stock Prices and Volume," Review of Financial Studies, 5, 199-242.
• Gallant, A. Ronald, Peter E. Rossi and George Tauchen (1993), "Nonlinear Dynamic Structures," Econometrica, 61, 8711-907.
• Gallant, A. Ronald and George Tauchen (1989), "Semi Non-Parametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, 57, 1091-1120.
• Gennotte, Gerard and Terry A. Marsh (1991), "Variations in Economic Uncertainty and Risk Premiums on Capital Assets," unpublished manuscript, Department of Finance, University of California, Berkeley.
• Gerity, M. S. and J. H. Mulherin (1993), "Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close," Journal of Finance, 47, 1765-1784.
• Geweke, John (1989a), "Exact Predictive Densities in Linear Models with ARCH Disturbances," Journal of Econometrics, 44, 307-325.
• Geweke, John (1989b), "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, 57, 1317-1339.
• Glosten, Larry R., Ravi Jagannathan and David Runkle (1993), "Relationship Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, forthcoming.
• Gourieroux, Christian, Alberto Holly and Alain Monfort (1982), "Likelihood Ratio Test, Wald Test and Kuhn-Tucker Test in Linear Models with Inequality Constraints on Regression Parameters," Econometrica, 50, 63-80.
• Gourieroux, Christian and Alain Monfort (1992), "Qualitative Threshold ARCH Models," Journal of Econometrics, 52, 159-199.
• Granger, C.W.J., Robert F. Engle, and R.P. Robins (1986), "Wholesale and Retail Prices: Bivariate Time-Series Modelling with Forecastable Error Variances," in Model Reliability (eds. david Belsley and Edwin Kuh) pp 1-17, MIT Press.
• Hamao, Yasushi, Ronald W. Masulis and Victor K. Ng (1990), "Correlations in Price Changes and Volatility Across International Stock Markets," Review of Financial Studies, 3, 281-307.
• Hamilton, James D. and R. Susmel (1992), "Autoregressive Conditional Heteroskedasticity and Changes in Regime," unpublished manuscript, Department of Economics, UCSD.
• Harris, Larry (1986), "A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns," Journal of Financial Economics, 16, 99-117.
• Harvey, Andrew C., Esther Ruiz and Enrique Sentana (1992), "Unobserved Component Time Series Models with ARCH Disturbances," Journal of Econometrics, 52, 129-158.
• Harvey, Andrew C., Esther Ruiz and Neil Shephard (1992), "Multivariate Stochastic Volatility Models," unpublished manuscript, London School of Economics.
• Harvey, Campbell R. and Roger D. Huang (1991), "Volatility in the Foreign Currency Futures Market," Review of Financial Studies, 4, 543-569.
• Harvey, Campbell R. and Roger D. Huang (1992) "Information Trading and Fixed Income Volatility," unpublished manuscript, department of Finance, Duke University.
• Heston, Steve L. (1991), "A Closed Form Solution for Options with Stochastic Volatility," unpublished manuscript, Department of Finance, Yale University.
• Higgins, Michael L. and Anil K. Bera (1992), "A Class of Nonlinear ARCH Models," International Economic Review, 33, 137-158.
• Hong, P.Y. (1991), "The Autocorrelation Structure for the GARCH-M Process," Economics Letters, 37, 129-132.
• Hsieh, David A. (1991), "Chaos and Nonlinear Dynamics: Applications to Financial Markets," Journal of Finance, 46, 1839-1878.
• Huber, P. J. (1977). Robust Statistical Procedures. SIAM, Bristol, United Kingdom.
• Hull, J. and A. White (1987), "The Pricing of Options on Assets with Stochastic Volatilities." Journal of Finance, 42, 281-300.
• Jacquier, Eric, Nicholas G. Polson and Peter E. Rossi (1992), "Bayesian Analysis of Stochastic Volatility Models," unpublished manuscript, Graduate School of Business, University of Chicago.
• Karatzas, I. and S. E. Shreve (1988). Brownian Motion and Stochastic Calculus. Springer-Verlag, New York, NY.
• Karpoff, Jonathan M. (1987), "The Relation Between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, 22, 109-126.
• Kim, C. M. (1989), "Nonlinear Dependence of Exchange Rate Changes," unpublished Ph.D. dissertation, Graduate School of Business, University of Chicago.
• King, Mervyn, Enrique Sentana and Sushil Wadhwani (1990), "Volatility and Links Between National Stock Markets," unpublished manuscript, London School of Economics.
• Kitagawa, Genshiro (1987) "Non-Gaussian State Space Modelling of Nonstationary Time Series," Journal of the American Statistical Association, 82, 1032-1063.
• Kodde, David A. and Franz C. Palm (1986), "Wald Criterion for Jointly Testing Equality and Inequality Restrictions," Econometrica, 54, 1243-1248.
• Kraft, Dennis F. and Robert F. Engle (1982), "Autoregressive Conditional Heteroskedasticity in Multiple Time Series," unpublished manuscript, Department of Economics, UCSD.
• Krengel, U. (1985). Ergodic Theorems. Walter de Gruyter, Berlin, Germany.
• Kroner, Kenneth F. and Stijn Claessens (1993), "Optimal Currency Composition of External Debt: Applications to Indonesia and Turkey," Journal of International Money and Finance, forthcoming.
• Kroner, Kenneth F. and Jahangir Sultan (1992), "Foreign Currency Futures and Time-Varying Hedge Ratios," in Pacific-Basin Capital Markets Research, Vol. II, forthcoming.
• Lamoureux, Christopher G. and William D. Lastrapes (1990), "Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, 45, 221-229.
• Lamoureux, Christopher G. and William D. Lastrapes (1992), "Endogenous Trading Volume and Momentum in Stock Return Volatility," unpublished manuscript, Department of Finance, Washington University.
• LeBaron, Blake (1992), "Some Relations Between Volatility and Serial Correlation in Stock Market Returns," Journal of Business, 65, 199-220.
• Lin, Wen-Ling (1992), "Alternative Estimators for Factor GARCH Models - A Monte Carlo Comparison," Journal of Applied Econometrics, 7, 259-279.
• Lin, Wen-Ling, Robert F. Engle and Takatoshi Ito (1991), "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns," unpublished manuscript, Department of Economics, University of Wisconsin, Madison.
• Lee, John H. H. and Maxwell L. King (1993), "A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances," Journal of Business and Economic Statistics, 7, 259-279.
• Ljung, Greta M. and George E. P. Box (1978), "On a Measure of Lag of Fit in Time Series Models," Biometrika, 67, 297-303.
• Lumsdaine, R. L. (1992a), "Asymptotic Properties of the Quasi-Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models," unpublished manuscript, Department of Economics, Princeton University.
• Lumsdaine, R. L. (1992b), "Finite Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation," unpublished manuscript, Department of Economics, Princeton University.
• Mandelbrot, Benoit (1963), "The Variation of Certain Speculative Prices," Journal of Business, 36, 394-419.
• Marcus, M. and H. Minc (1964). A Survey of Matrix Theory and Matrix Inequalities. Prindle, Weber and Schmidt, Boston, MA.
• MacKinnon, James G. and Halbert White (1985), "Some Heteroskedasticity Consistent Covariance Matrix Estimators
• with Improved Finite Sample Properties," Journal of Econometrics, 29, 305-325.
• McCurdy, Thomas H. and Thanasis Stengos (1992), " A Comparison of Risk Premium Forecasts Implied by Parametric and Nonparametric Conditional Mean Estimators," Journal of Econometrics, 52, 225-244.
• McDonald, J. B. and Whitney K. Newey (1988), "Partially Adaptive Estimation of Regression Models via the Generalized t Distribution," Econometric Theory, 4, 428-457.
• Melino, Angelo and Stuart Turnbull (1990), "Pricing Foreign Currency Options with Stochastic Volatility," Journal of Econometrics, 45, 239-266.
• Merton, Robert C. (1973), "An Intertemporal Capital Asset Pricing Model," Econometrica, 42, 867--887.
• Merton, Robert C. (1980), "On Estimating the Expected Return on the Market," Journal of Financial Economics, 41, 867-887.
• Milhfj, Anders (1985), "The Moment Structure of ARCH Processes," Scandinavian Journal of Statistics, 12, 281-292.
• Murphy, Kevin, and Robert Topel (1985), "Estimation and Inference in Two-Step Econometric Models," Journal of Business and Economic Statistics, 3, 370-379.
• Nelson, Daniel B. (1989), "Modeling Stock Market Volatility Changes," Proceedings from the American Statistical Association, Business and Economic Statistics Section, 93-98.
• Nelson, Daniel B. (1990a), "ARCH Models as Diffusion Approximations," Journal of Econometrics, 45, 7-38.
• Nelson, Daniel B. (1990b), "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, 6, 318-334.
• Nelson, Daniel B. (1991), "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, 59, 347-370.
• Nelson, Daniel B. (1992), "Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model," Journal of Econometrics, 52, 61-90.
• Nelson, Daniel B. and C. Q. Cao (1992), "Inequality Constraints in the Univariate GARCH Model," Journal of Business and Economic Statistics, 10, 229-235.
• Nelson, Daniel B. and Dean P. Foster (1991), "Filtering and Forecasting with Misspecified ARCH Models II: Making the Right Forecast with the Wrong Model," unpublished manuscript, Graduate School of Business, University of Chicago.
• Nelson, Daniel B. and Dean P. Foster (1992), "Asymptotic Filtering Theory for Univariate ARCH Models" unpublished manuscript, Graduate School of Business, University of Chicago.
• Newey, Whitney K. (1985), "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, 53, 1047-1070.
• Ng, Victor, Robert F. Engle and Michael Rothschild (1992), "A Multi-Dynamic Factor Model for Stock Returns," Journal of Econometrics, 52, 245-265.
• Nijman, Theo E. and Franz C. Palm (1992), "Recent Developments in Modeling Volatility in Financial Data," unpublished manuscript, Center for Economic Research, Tilburg University.
• Nummelin, E. and P. Tuominen (1982), "Geometric Ergodicity of Harris Recurrent Markov Chains with Applications to Renewal Theory," Stochastic Processes and Their Applications, 12, 187-202.
• Pagan, Adrian R. (1984), "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, 25, 221-247.
• Pagan, Adrian R. (1986), "Two Stage and Related Estimators and their Applications," Review of Economic Studies, 53, 517-538.
• Pagan, Adrian R. and Y. S. Hong (1991), "Nonparametric Estimation and the Risk Premium," in Nonparametric and Semiparametric Methods in Econometrics and Statistics, (eds. William A. Barnett, Jim Powell and George Tauchen), Cambridge University Press, Cambridge.
• Pagan, Adrian R., Alistar D. Hall and Pravin K. Trivedi (1983), "Assessing the Variability of Inflation," Review of Economic Studies, 50, 585-596.
• Pagan, Adrian R. and Hernando C. L. Sabau (1987a), "On the Inconsistency of the MLE in Certain Heteroskedastic Regression Models," unpublished manuscript, University of Rochester.
• Pagan, Adrian R. and Hernando C. L. Sabau (1987b), "Consistency Tests for Heteroskedasticity and Risk Models," unpublished manuscript, Department of Economics, University of Rochester.
• Pagan, Adrian R. and G. William Schwert (1990), "Alternative Models for Conditional Stock Volatility," Journal of Econometrics, 45, 267-290.
• Pagan, Adrian R. and Aman Ullah (1988), "The Econometric Analysis of Models with Risk Terms," Journal of Applied Econometrics, 3, 87-105.
• Pardoux E. and D. Talay (1985), "Discretization and Simulation of Stochastic Differential Equations," Acta Applicandae Mathematica, 3, 23-47.
• Parkinson, M. (1980), "The Extreme Value Method for Estimating the Variance of the Rate of Return," Journal of Business, 53, 61-65.
• Patell, J. M. and M. A. Wolfson (1979), "Anticipated Information Releases Reflected in Call Option Prices," Journal of Accounting and Economics, 1, 117-140.
• Patell, J. M. and M. A. Wolfson (1981), "The Ex-Ante and Ex-Post Price Effects of Quarterly Earnings Announcement Reflected in Option and Stock Prices," Journal of Accounting Research, 19, 434-458.
• Poterba, James and Lawrence Summers (1986), "The Persistence of Volatility and Stock Market Fluctuations," American Economic Review, 76, 1142-1151.
• Rich, Robert W., Jennie E. Raymond, and J. S. Butler (1992), "The Relationship between Forecast Dispersion and Forecast Uncertainty: Evidence from a Survey Data-ARCH Model," Journal of Applied Econometrics, 7, 131-148.
• Royden, H. L. (1968). Real Analysis. Macmillan Publishing Co., New York, NY.
• Scheinkman, Jose, and Blake LeBaron (1989), "Nonlinear Dynamics and Stock Returns," Journal of Business, 62, 311-337.
• Schwarz, G. (1978), "Estimating the Dimension of a Model," Annals of Statistics, 6, 461-464.
• Schwert, G. William (1989a), "Why Does Stock Market Volatility Change Over Time," Journal of Finance, 44, 1115-1153.
• Schwert, G. William (1989b), "Business Cycles, Financial Crises, and Stock Volatility," Carnegie-Rochester Conference Series on Public Policy, 39, 83-126.
• Schwert, G. William (1990), "Indexes of U.S. Stock Prices from 1802 to 1987," Journal of Business, 63, 399-426.
• Schwert, G. William and Paul J. Seguin (1990), "Heteroskedasticity in Stock Returns," Journal of Finance, 45, 1129-1155.
• Scott, Louis O. (1987), "Option Pricing when the Variance Changes Randomly: Theory, Estimation and an Application," Journal of Financial and Quantitative Analysis, 22, 419-438.
• Sentana, Enrique (1991), "Quadratic ARCH Models: A Potential Re-Interpretation of ARCH Models," unpublished manuscript, London School of Economics.
• Silverman, B. W. (1986). Density Estimation for Statistics and Data Analysis. Chapman and Hall, London, United Kingdom.
• Stambaugh, Robert F. (1993), "Estimating conditional Expectations When Volatility Fluctuates," unpublished manuscript, The Wharton School, University of Pennsylvania.
• Stroock, D. W. and S. R. S. Varadhan (1979). Multidimensional Diffusion Processes. Springer Verlag, Berlin, Germany.
• Tauchen, George (1985), "Diagnostic Testing and Evaluation of Maximum Likelihood Models," Journal of Econometrics, 30, 415-443.
• Tauchen, George and Mark Pitts (1983), "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, 51, 485-505.
• Taylor, Stephen (1986). Modeling Financial Time Series. Wiley and Sons, New York, NY.
• Tsay, Ruey S. (1987), "Conditional Heteroskedastic Time Series Models," Journal of the American Statistical Association, 82, 590-604.
• Tweedie, R. L. (1983a), "Criteria for Rates of Convergence of Markov Chains, with Application to Queuing and Storage Theory," in Probability, Statistics, and Analysis, London Mathematical Society Lecture Note Series No.79 (eds. J. F. C. Kingman and G. E. H. Reuter), Cambridge University Press, Cambridge.
• Tweedie, R. L. (1983b), "The Existence of Moments for Stationary Markov Chains," Journal of Applied Probability, 20, 191-196.
• Watson, Mark W. and Robert F. Engle (1985), "Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative," Review of Economics and Statistics, 67, 341-346.
• Weiss, Andrew A. (1984), "ARMA Models with ARCH Errors," Journal of Time Series Analysis, 5, 129-143.
• Weiss, Andrew A. (1986), "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, 2, 107-131.
• West, Kenneth D., Hali J. Edison and Dongchul Cho (1991), "A Utility Based Comparison of Some Models for Exchange Rate Volatility," unpublished manuscript, Department of Economics, University of Wisconsin, Madison.
• White, Halbert (1980), "A Heteroskedastic-Consistent Covariance Matrix and a Direct Test for Heteroskedasticity," Econometrica, 48, 421-448.
• White, Halbert (1987), "Specification Testing in Dynamic Models," in Advances in Econometrics: Fifth World Congress, Vol. I, (ed. Truman F. Bewley), Cambridge University Press, Cambridge.
• White, Halbert (1991), Estimation, Inference, and Specification Analysis, forthcoming.
• Wiggins, James B. (1987), "Option Values under Stochastic Volatility: Theory and Empirical Estimates," Journal of Financial Economics, 19, 351-372.
• Wiggins, James B. (1991), "Empirical Tests of the Bias and Efficiency of the Extreme-Value Variance Estimator for Common Stocks," Journal of Business, 64, 417-432.
• Wolak, Frank A. (1991), "The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models," Econometrica, 59, 981-995.
• Wooldridge, Jeffrey M. (1990), "A Unified Approach to Robust Regression Based Specification Tests," Econometric Theory, 6, 17-43.
• Wooldridge, Jeffrey M. (1993), "Estimation and Inference for Dependent Processes," in Handbook of Econometrics Vol. IV, (eds. Robert F. Engle and Daniel McFadden), North-Holland, Amsterdam, forthcoming.
• Zakoian, Jean-Michel (1990), "Threshold Heteroskedastic Models," unpublished manuscript, CREST, INSEE.
• Zarnowitz, Victor, and Louis A. Lambros (1987), "Consensus and Uncertainty in Economic Prediction," Journal of Political Economy, 95, 591-621

Материалы по GARCH-моделям
На начальную страницу