Conditional Heteroskedasticity in Asset Returns: A New Approach
Daniel B. Nelson
Econometrica, Vol. 59, No. 2. (Mar., 1991), pp. 347-370.
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You have printed the following article:
Conditional Heteroskedasticity in Asset Returns: A New Approach
Daniel B. Nelson
Econometrica, Vol. 59, No. 2. (Mar., 1991), pp. 347-370.
Stable URL:
http://links.jstor.org/sici?sici=0012-9682%28199103%2959%3A2%3C347%3ACHIARA%3E2.0.CO%3B2-V
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[Footnotes]
2
The Persistence of Volatility and Stock Market Fluctuations
James M. Poterba; Lawrence H. Summers
The American Economic Review, Vol. 76, No. 5. (Dec., 1986), pp. 1142-1151.
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http://links.jstor.org/sici?sici=0002-8282%28198612%2976%3A5%3C1142%3ATPOVAS%3E2.0.CO%3B2-L
4
Why Does Stock Market Volatility Change Over Time?
G. William Schwert
The Journal of Finance, Vol. 44, No. 5. (Dec., 1989), pp. 1115-1153.
Stable URL:
http://links.jstor.org/sici?sici=0022-1082%28198912%2944%3A5%3C1115%3AWDSMVC%3E2.0.CO%3B2-C
9
Private Information, Trading Volume, and Stock-Return Variances
Michael J. Barclay; Robert H. Litzenberger; Jerold B. Warner
The Review of Financial Studies, Vol. 3, No. 2. (1990), pp. 233-253.
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How Big Is the Random Walk in GNP?
John H. Cochrane
The Journal of Political Economy, Vol. 96, No. 5. (Oct., 1988), pp. 893-920.
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15
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
Robert F. Engle; David M. Lilien; Russell P. Robins
Econometrica, Vol. 55, No. 2. (Mar., 1987), pp. 391-407.
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References
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Michael J. Barclay; Robert H. Litzenberger; Jerold B. Warner
The Review of Financial Studies, Vol. 3, No. 2. (1990), pp. 233-253.
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http://links.jstor.org/sici?sici=0893-9454%281990%293%3A2%3C233%3APITVAS%3E2.0.CO%3B2-9
Why Don't the Prices of Stocks and Bonds Move Together?
Robert B. Barsky
The American Economic Review, Vol. 79, No. 5. (Dec., 1989), pp. 1132-1145.
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Irreversibility, Uncertainty, and Cyclical Investment
Ben S. Bernanke
The Quarterly Journal of Economics, Vol. 98, No. 1. (Feb., 1983), pp. 85-106.
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A Capital Asset Pricing Model with Time-Varying Covariances
Tim Bollerslev; Robert F. Engle; Jeffrey M. Wooldridge
The Journal of Political Economy, Vol. 96, No. 1. (Feb., 1988), pp. 116-131.
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Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch
Ray Yeutien Chou
Journal of Applied Econometrics, Vol. 3, No. 4. (Oct. - Dec., 1988), pp. 279-294.
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A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
Peter K. Clark
Econometrica, Vol. 41, No. 1. (Jan., 1973), pp. 135-155.
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How Big Is the Random Walk in GNP?
John H. Cochrane
The Journal of Political Economy, Vol. 96, No. 5. (Oct., 1988), pp. 893-920.
Stable URL:
http://links.jstor.org/sici?sici=0022-3808%28198810%2996%3A5%3C893%3AHBITRW%3E2.0.CO%3B2-P
An Intertemporal General Equilibrium Model of Asset Prices
John C. Cox; Jonathan E. Ingersoll, Jr.; Stephen A. Ross
Econometrica, Vol. 53, No. 2. (Mar., 1985), pp. 363-384.
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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United
Kingdom Inflation
Robert F. Engle
Econometrica, Vol. 50, No. 4. (Jul., 1982), pp. 987-1007.
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Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
Robert F. Engle; David M. Lilien; Russell P. Robins
Econometrica, Vol. 55, No. 2. (Mar., 1987), pp. 391-407.
Stable URL:
http://links.jstor.org/sici?sici=0012-9682%28198703%2955%3A2%3C391%3AETVRPI%3E2.0.CO%3B2-X
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The Behavior of Stock-Market Prices
Eugene F. Fama
The Journal of Business, Vol. 38, No. 1. (Jan., 1965), pp. 34-105.
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The Estimation of the Order of an ARMA Process
E. J. Hannan
The Annals of Statistics, Vol. 8, No. 5. (Sep., 1980), pp. 1071-1081.
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Fractional Differencing
J. R. M. Hosking
Biometrika, Vol. 68, No. 1. (Apr., 1981), pp. 165-176.
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Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test
Andrew W. Lo; A. Craig MacKinlay
The Review of Financial Studies, Vol. 1, No. 1. (Spring, 1988), pp. 41-66.
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The Variation of Certain Speculative Prices
Benoit Mandelbrot
The Journal of Business, Vol. 36, No. 4. (Oct., 1963), pp. 394-419.
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The Value of Waiting to Invest
Robert McDonald; Daniel Siegel
The Quarterly Journal of Economics, Vol. 101, No. 4. (Nov., 1986), pp. 707-728.
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An Intertemporal Capital Asset Pricing Model
Robert C. Merton
Econometrica, Vol. 41, No. 5. (Sep., 1973), pp. 867-887.
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The Persistence of Volatility and Stock Market Fluctuations
James M. Poterba; Lawrence H. Summers
The American Economic Review, Vol. 76, No. 5. (Dec., 1986), pp. 1142-1151.
Stable URL:
http://links.jstor.org/sici?sici=0002-8282%28198612%2976%3A5%3C1142%3ATPOVAS%3E2.0.CO%3B2-L
Estimating the Dimension of a Model
Gideon Schwarz
The Annals of Statistics, Vol. 6, No. 2. (Mar., 1978), pp. 461-464.
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Why Does Stock Market Volatility Change Over Time?
G. William Schwert
The Journal of Finance, Vol. 44, No. 5. (Dec., 1989), pp. 1115-1153.
Stable URL:
http://links.jstor.org/sici?sici=0022-1082%28198912%2944%3A5%3C1115%3AWDSMVC%3E2.0.CO%3B2-C
NOTE: The reference numbering from the original has been maintained in this citation list.