Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressi...
The capital asset pricing model provides a theoretical structure for the pricing of assets with uncertain returns. The premium to induc e risk-averse investors to bear risk is p...
This paper will discuss the current research in building models of conditional variances using the Autoregressive Conditional Heteroskedastic (ARCH) and Generalized ARCH (GARCH)...
This article introduces a semiparametric autoregressive conditional heteroscedasticity (ARCH) model that has conditional first and second moments given by autoregressive moving ...
The expectati on of the excess holding yield on a long bond is postulated to depend upon its conditional variance. Engle's ARCH model is extended to allow the conditional varian...
The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and em...
A bstract-We discuss the problem of testing for constant versus time varying regression coefficients. Our alternative hypothesis allows the coefficients to follow a stationary A...
ABSTRACT This paper defines the news impact curve which measures how new information is incorporated into volatility estimates. Various new and existing ARCH models including a ...
Publisher Summary Many tests of the adequacy of the specification of a linear regression have been proposed and used by econometricians. One of the commonly used tests is to s...
h-index: Number of publications with at least h citations each.