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Ruben Belyaev
Ruben Belyaev

Archmodels Vol 52 __LINK__ Download


As the access to this document is restricted, you may want to search for a different version of it. References listed on IDEAS asHTMLHTML with abstractplain textplain text with abstractBibTeXRIS (EndNote, RefMan, ProCite)ReDIFJSON Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992."The impact of institutional trading on stock prices,"Journal of Financial Economics, Elsevier, vol. 32(1), pages 23-43, August. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices,"Scholarly Articles 27692662, Harvard University Department of Economics. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990."Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market,"Econometrica, Econometric Society, vol. 58(3), pages 525-542, May. Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market,"NBER Working Papers 2609, National Bureau of Economic Research, Inc. Engel, R.F. & Ito, T. & Lin, W-L., 1988. "Meteor Showers Or Heat Wages? Heteroskedastic Intra-Daily Volatility In A The Foreign Exchange Market,"Papers 246, Minnesota - Center for Economic Research. Diebold, Francis X & Nerlove, Marc, 1989."The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model,"Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar.. Francis X. Diebold & Marc Nerlove, 1986. "The dynamics of exchange rate volatility: a multivariate latent factor ARCH model,"Special Studies Papers 205, Board of Governors of the Federal Reserve System (U.S.). Bollerslev, Tim, 1986."Generalized autoregressive conditional heteroskedasticity,"Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity,"EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels. Schwert, G William, 1990."Stock Volatility and the Crash of '87,"Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102. Schwert, G.W., 1989. "Stock Volatility And The Crash Of '87,"Papers 89-01, Rochester, Business - General. G. William Schwert, 1989. "Stock Volatility and the Crash of '87,"NBER Working Papers 2954, National Bureau of Economic Research, Inc. Lamoureux, Christopher G & Lastrapes, William D, 1990."Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects,"Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March. Trueman, Brett, 1988." A Theory of Noise Trading in Securities Markets,"Journal of Finance,American Finance Association, vol. 43(1), pages 83-95, March. White, Halbert, 1980."A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity,"Econometrica, Econometric Society, vol. 48(4), pages 817-838, May. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992."ARCH modeling in finance : A review of the theory and empirical evidence,"Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59. Karolyi, G Andrew, 1995."A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada,"Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 11-25, January. Dickey, David A & Fuller, Wayne A, 1981."Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,"Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June. Potter, G, 1992."Accounting Earnings Announcements, Institutional Investor Concentration, And Common-Stock Returns,"Journal of Accounting Research, Wiley Blackwell, vol. 30(1), pages 146-155. Errunza, Vihang, et al, 1994."Conditional Heteroskedasticity and Global Stock Return Distributions,"The Financial Review, Eastern Finance Association, vol. 29(3), pages 293-317, August. Akgiray, Vedat, 1989."Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts,"The Journal of Business, University of Chicago Press, vol. 62(1), pages 55-80, January. Benoit Mandelbrot, 2015."The Variation of Certain Speculative Prices,"World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78,World Scientific Publishing Co. Pte. Ltd.. Benoit Mandelbrot, 1963."The Variation of Certain Speculative Prices,"The Journal of Business, University of Chicago Press, vol. 36, pages 394-394. Laux, Paul A. & Ng, Lilian K., 1993."The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks,"Journal of International Money and Finance, Elsevier, vol. 12(5), pages 543-560, October.Full references (including those not matched with items on IDEAS) CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item. asHTMLHTML with abstractplain textplain text with abstractBibTeXRIS (EndNote, RefMan, ProCite)ReDIFJSON Cited by: Dungey, Mardi & McKenzie, Michael & Tambakis, Demosthenes N., 2009."Flight-to-quality and asymmetric volatility responses in US Treasuries,"Global Finance Journal, Elsevier, vol. 19(3), pages 252-267. M. D. Racine & Lucy F. Ackert, 2000."Time-Varying Volatility In Canadian And U.S. Stock Index And Index Futures Markets: A Multivariate Analysis,"Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(2), pages 129-143, June. Lucy F. Ackert & Marie D. Racine, 1998. "Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis,"FRB Atlanta Working Paper 98-14, Federal Reserve Bank of Atlanta. Most related itemsThese are the items that most often cite the same works as this one and are cited by the same works as this one. Franses,Philip Hans & Dijk,Dick van, 2000."Non-Linear Time Series Models in Empirical Finance,"Cambridge Books,Cambridge University Press, number 9780521779654. Franses,Philip Hans & Dijk,Dick van, 2000."Non-Linear Time Series Models in Empirical Finance,"Cambridge Books,Cambridge University Press, number 9780521770415, December. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review,"MPRA Paper 80487, University Library of Munich, Germany. Elyasiani, Elyas & Mansur, Iqbal, 1998."Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model,"Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.repec:adr:anecst:y:1991:i:24:p:01 is not listed on IDEAS LeBaron, Blake, 2003."Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [,"International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986."Arch models,"Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038,Elsevier. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992."ARCH modeling in finance : A review of the theory and empirical evidence,"Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991."es modéles ARCH en finance : un point sur la théorie et les résultats empiriques,"Annals of Economics and Statistics, GENES, issue 24, pages 1-59. Prashant Joshi, 2014. "Analyzing Performance Of Garch Models In Nse,"Working papers 2014-09-16, Voice of Research. Committee, Nobel Prize, 2003. "Time-series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity,"Nobel Prize in Economics documents 2003-1, Nobel Prize Committee. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets,"Working Papers 0501, University of Crete, Department of Economics. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets,"Money Macro and Finance (MMF) Research Group Conference 2005 24, Money Macro and Finance Research Group. Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006."Multivariate GARCH models: a survey,"Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006."Multivariate GARCH models: a survey,"Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey,"LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey,"LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests,"NBER Working Papers 4108, National Bureau of Economic Research, Inc. Rob Bauer & Fred Nieuwland, 1995."A multiplicative model fo


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