Conditional Heteroskedasticity in Asset Returns: A New Approach
This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility ch...
Publications
2 shownStationarity and Persistence in the GARCH(1,1) Model
This paper establishes necessary and sufficient conditions for the stationarity and ergodicity of the GARCH(l.l) process. As a special case, it is shown that the IGARCH(1,1) pro...
Researcher Info
- h-index
- 2
- Publications
- 2
- Citations
- 11,297
- Institution
- University of Chicago
External Links
Identifiers
- ORCID
- 0000-0002-2716-7770
Impact Metrics
h-index
2
h-index: Number of publications with at least h citations each.