×

zbMATH — the first resource for mathematics

Autoregressive conditional heteroskedasticity and changes in regime. (English) Zbl 0825.62950

MSC:
62P20 Applications of statistics to economics
91B84 Economic time series analysis
PDF BibTeX XML Cite
Full Text: DOI
References:
[1] Akaike, Hirotogu: Canonical correlation analysis of time series and the use of an information criterion. System identification: advances and case studies (1976)
[2] Bates, David S.: The crash of ’87: was it expected? the evidence from options markets. Journal of finance 46, 1009-1044 (1991)
[3] Baillie, Richard T.; Degennaro, Ramon P.: Stock returns and volatility. Journal of financial and quantitative analysis 25, 203-214 (1990)
[4] Bera, Anil K.; Bubnys, Edward; Park, Hun: Conditional heteroskedasticity in the market model and efficient estimates of betas. Financial review 23, 201-214 (1988)
[5] Black, Fischer: Studies of stock market volatility changes. 1976 Proceedings of the American statistical association, 177-181 (1976)
[6] Bollerslev, Tim: Generalized autoregressive conditional heteroskedasticity. Journal of econometrics 31, 307-327 (1986) · Zbl 0616.62119
[7] Bollerslev, Tim: A conditionally heteroskedastic time series model for speculative prices and rates of return. Review of economics and statistics 69, 542-547 (1987)
[8] Bollerslev, Tim; Chou, Ray Y.; Kroner, Kenneth F.: ARCH modeling in finance: A review of the theory and empirical evidence. Journal of econometrics 52, 5-59 (1992) · Zbl 0825.90057
[9] Brunner, Allan D.: Testing for structural breaks in U.S. Post-war inflation data. (1991)
[10] Cai, Jun, forthcoming, A Markov model of unconditional variance in ARCH, Journal of Business and Economic Statistics.
[11] Connolly, Robert A.: An examination of the robustness of the weekend effect. Journal of financial and quantitative analysis 24, 133-169 (1989)
[12] Diebold, Francis X.: Modeling the persistence of conditional variances: A comment. Econometric reviews 5, 51-56 (1986)
[13] Diebnold, Francis X.; Lim, Steve C.; Lee, C. Jevons: A note on conditional heteroskedasticity in the market model. Journal of accounting, auditing, and finance 8, 141-150 (1993)
[14] Engle, Robert F.: Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation. Econometrica 50, 987-1007 (1982) · Zbl 0491.62099
[15] Engle, Robert F.: Statistical models for financial volatility. (1991)
[16] Engle, Robert F.; Mustafa, Chowdhury: Implied ARCH models from options prices. Journal of econometrics 52, 289-311 (1992)
[17] Engle, Robert F.; Ng, Victor K.: Measuring and testing the impact of news on volatility. (1991)
[18] French, Mark W.; Sichel, Daniel F.: Cyclical patterns in the variance of economic activity. Journal of business and economic statistics 11, 113-119 (1993)
[19] Friedman, Benjamin M.: Big shocks and little shocks: security returns with nonlinear persistence of volatility. (1992)
[20] Friedman, Benjamin M.; Laibson, David I.: Economic implications of extraordinary movements in stock prices. Brookings papers on economic activity 2, 137-189 (1989)
[21] Glosten, Lawrence R.; Jagannathan, Ravi; Runkle, David: Relationship between the expected value and the volatility of the nominal excess return on stocks. (1989)
[22] Gourieroux, Christian; Monfort, Alain: Qualitative threshold ARCH models. Journal of econometrics 52, 159-199 (1992) · Zbl 0792.62103
[23] Hamilton, James D.: A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357-384 (1989) · Zbl 0685.62092
[24] Hamilton, James D.: Time series analysis. (1994) · Zbl 0831.62061
[25] Hansen, Bruce E.: Inference when a nuisance parameter is not identified under the null hypothesis. (1991) · Zbl 0862.62090
[26] Hansen, Bruce E.: The likelihood ratio test under non-standard conditions: testing the Markov trend model of GNP. Journal of applied econometrics 7, S61-S82 (1992)
[27] Kim, Chang-Jin: Dynamic linear models with Markov-switching. Journal of econometrics 60, 1-22 (1994) · Zbl 0795.62104
[28] Lamoureux, Christopher G.; Lastrapes, William D.: Persistence in variance, structural change and the GARCH model. Journal of business and economic statistics 8, 225-234 (1990)
[29] Lamoureux, Christopher G.; Lastrapes, William D.: Forecasting stock return variance: toward an understanding of stochastic implied volatilities. Review of financial studies 5, 293-326 (1993)
[30] Morgan, Alison; Morgan, Ieuan: Measurement of abnormal returns from small firms. Journal of business and economic statistics 5, 121-129 (1987)
[31] Nelson, Daniel: Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59, 347-370 (1991) · Zbl 0722.62069
[32] Pagan, Adrian; Schwert, G. William: Alternative models for conditional stock volatility. Journal of econometrics 45, 267-290 (1990) · Zbl 1376.62068
[33] Pagan, Adrian; Ullah, Aman: The econometric analysis of models with risk terms. Journal of applied econometrics 3, 87-105 (1988)
[34] Perron, Pierre: The great crash, the oil price shock, and the unit root hypothesis. Econometrica 57, 1361-1401 (1989) · Zbl 0683.62066
[35] Schwarz, Gideon: Estimating the dimension of a model. Annals of statistics 6, 461-464 (1978) · Zbl 0379.62005
[36] Schwert, G. William; Seguin, Paul J.: Heteroskedasticity in stock returns. Journal of finance 45, 1129-1155 (1990)
[37] West, Kenneth D.; Edison, Hali J.; Cho, Dongchul: A utility based comparison of some models of foreign exchange volatility. Journal of international economics 35, 23-46 (1993)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.