ARCH modeling in finance

Admati, 1988, a theory of intraday patterns: Volume and price variability, Review of Financial Studies, 1, 3, 10.1093/rfs/1.1.3

Akgiray, 1989, Conditional heteroskedasticity in time series of stock returns: Evidence and forecasts, Journal of Business, 62, 55, 10.1086/296451

Amihud, 1989, Market microstructure and price discovery on the Tokyo Stock Exchange, Japan and the World Economy, 1, 341, 10.1016/0922-1425(89)90013-3

Amsler, 1985

Attanasio, 1988

Attanasio, 1991, Risk, time varying second moments and market efficiency, Review of Economic Studies, 58, 479, 10.2307/2298007

Attanasio, 1988

Attanasio, 1989

Baba, 1984, Estimation of the effect of uncertainty: Theory and empirical studies

Baba, 1991

Backus, 1988

Backus, 1989, Risk premiums in the term structure: Evidence from artificial economies, Journal of Monetary Economics, 24, 371, 10.1016/0304-3932(89)90027-5

Baillie, 1989, Econometric tests of rationality and market efficiency, Econometric Reviews, 8, 151, 10.1080/07474938908800165

Baillie, 1989, The message in daily exchange rates: A conditional variance tale, Journal of Business and Economic Statistics, 7, 297, 10.2307/1391527

Baillie, 1990, A multivariate generalized ARCH approach to modeling risk premia in forward foreign rate markets, Journal of International Money and Finance, 9, 309, 10.1016/0261-5606(90)90012-O

Baillie, 1991, Intra day and inter market volatility in foreign exchange rates, Review of Economic Studies, 58, 565, 10.2307/2298012

Baillie, 1992, Conditional forecast densities from dynamic models with GARCH innovations, Journal of Econometrics

Baillie, 1989, The impact of delivery terms on stock return volatility, Journal of Financial Services Research, 3, 55, 10.1007/BF00114078

Baillie, 1990, Stock returns and volatility, Journal of Financial and Quantitative Analysis, 25, 203, 10.2307/2330824

Baillie, 1991, Modelling commodity price distributions and estimating the optimal futures hedge, Journal of Applied Econometrics, 6, 109, 10.1002/jae.3950060202

Bera, 1991

Bera, 1989

Bera, 1991

Bera, 1988, Conditional heteroskedasticity in the market model and efficient estimates of betas, Financial Review, 23, 201, 10.1111/j.1540-6288.1988.tb00786.x

Bera, 1991

Bera, 1987

Black, 1976, Studies in stock price volatility changes, 177

Black, 1972, The valuation of option contracts and a test of market efficiency, Journal of Finance, 37, 399, 10.2307/2978484

Black, 1973, The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637, 10.1086/260062

Bodurtha, 1991, Testing the CAPM with time varying risks and returns, Journal of Finance, 46, 1485, 10.2307/2328868

Bollerslev, 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307, 10.1016/0304-4076(86)90063-1

Bollerslev, 1987, A conditional heteroskedastic time series model for speculative prices and rates of return, Review of Economics and Statistics, 69, 542, 10.2307/1925546

Bollerslev, 1988, On the correlation structure for the generalized autoregressive conditional heteroskedastic process, Journal of Time Series Analysis, 9, 121, 10.1111/j.1467-9892.1988.tb00459.x

Bollerslev, 1990, Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH approach, Review of Economics and Statistics, 72, 498, 10.2307/2109358

Bollerslev, 1991, Price volatility, spread variability and the role of alternative market mechanisms, Review of Futures Markets

Bollerslev, 1990

Bollerslev, 1991, Quasi maximum likelihood estimation and inference in dynamic models with time varying covariances, Econometric Reviews

Bollerslev, 1988, A capital asset pricing model with time varying covariances, Journal of Political Economy, 96, 116, 10.1086/261527

Bookstaber, 1989, An information based model of market volatility, Financial Analysts Journal, 37, 10.2469/faj.v45.n6.37

Bougerol, 1992, Stationarity of GARCH processes and of some nonnegative time series, Journal of Econometrics, 10.1016/0304-4076(92)90067-2

Breeden, 1979, An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics, 7, 265, 10.1016/0304-405X(79)90016-3

Brock, 1990

Brock, 1987

Brock, 1991

Brock, 1990

Brown, 1990

Brown, 1985, Using daily stock returns: The case of event studies, Journal of Financial Economics, 14, 3, 10.1016/0304-405X(85)90042-X

Campbell, 1987, Stock returns and the term structure, Journal of Financial Economics, 18, 373, 10.1016/0304-405X(87)90045-6

Campbell, 1990

Campbell, 1989, The dividend price ratio and expectations of future dividends and discount factors, Review of Financial Studies, 1, 175

Campbell, 1991, Yield spreads and interest rate movements: A bird's eye view, Review of Economic Studies, 58, 479, 10.2307/2298008

Carlson, 1977, A study of price forecasts, Annals of Economic and Social Measurement, 6, 27

Cecchetti, 1988, Estimation of the optimal futures hedge, Review of Economics and Statistics, 70, 623, 10.2307/1935825

Chamberlain, 1983, Arbitrage, factor structure and mean-variance analysis on large asset markets, Econometrica, 51, 1281, 10.2307/1912275

Chan, 1990

Cheung, 1990

Cheung, 1990

Choi, 1990

Chou, 1988, Volatility persistence and stock valuations: Some empirical evidence using GARCH, Journal of Applied Econometrics, 3, 279, 10.1002/jae.3950030404

Chou, 1992, Estimating risk aversion with a time-varying price of volatility, Journal of Econometrics

Christie, 1982, The stochastic behavior of common stock variances: Value, leverage and interest rate effects, Journal of Financial Economics, 10, 407, 10.1016/0304-405X(82)90018-6

Cocco, 1990

Connolly, 1989, An examination of the robustness of the weekend effect, Journal of Financial and Quantitative Analysis, 24, 133, 10.2307/2330769

Connolly, 1990

Connolly, 1988

Connolly, 1990

Conrad, 1990

Cragg, 1982, Expectations in the structure of share prices

Cutler, 1989

Day, 1992, Stock market volatility and the information content of stock index options, Journal of Econometrics, 10.1016/0304-4076(92)90073-Z

de Jong, 1990

De Santis, 1990

Diebold, 1986, Modeling the persistence of conditional variances: A comment, Econometric Reviews, 5, 51, 10.1080/07474938608800096

Diebold, 1986

Diebold, 1987, Testing for serial correlation in the presence of ARCH, Proceedings from the American Statistical Association, Business and Economic Statistics Section, 323

Diebold, 1988

Diebold, 1990, Nonparametric exchange rate prediction, Journal of International Economics, 28, 315, 10.1016/0022-1996(90)90006-8

Diebold, 1989, The dynamics of exchange rate volatility: A multivariate latent factor ARCH model, Journal of Applied Econometrics, 4, 1, 10.1002/jae.3950040102

Diebold, 1988, Endogenous risk in a portfolio balance rational expectations model of the Deutschmark-dollar rate, European Economic Review, 32, 27, 10.1016/0014-2921(88)90033-5

Diebold, 1988, Has the EMS reduced member country exchange rate volatility?, Empirical Economics, 13, 81, 10.1007/BF01973316

Diebold, 1989, Small sample properties of asymptotically equivalent tests for autoregressive conditional heteroskedasticity, Statistische Hefte, 30, 105

Diebold, 1990, Conditional heteroskedasticity in the market, Journal of Accounting, Auditing and Finance

Domowitz, 1985, Conditional variance and the risk premium in the foreign exchange market, Journal of International Economics, 19, 47, 10.1016/0022-1996(85)90018-2

Domowitz, 1987

Drost, 1991

Engel, 1990, Long swings in the dollar: Are they in the data and do markets know it?, American Economic Review, 80, 713

Engel, 1989, Tests of international CAPM with time varying covariances, Journal of Applied Econometrics, 4, 119, 10.1002/jae.3950040203

Engel, 1989

Engle, 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation, Econometrica, 50, 987, 10.2307/1912773

Engle, 1983, Estimates of the variance of U.S. inflation based on the ARCH model, Journal of Money, Credit and Banking, 15, 286, 10.2307/1992480

Engle, 1987

Engle, 1986, Modelling the persistence of conditional variances, Econometric Reviews, 5, 1, 10.1080/07474938608800095

Engle, 1986, Modelling the persistence of conditional variances, Econometric Reviews, 5, 81, 10.1080/07474938608800101

Engle, 1991, Semiparametric ARCH models, Journal of Business and Economic Statistics, 9, 345, 10.2307/1391236

Engle, 1992, Implied ARCH models from options prices, Journal of Econometrics, 10.1016/0304-4076(92)90074-2

Engle, 1990

Engle, 1990

Engle, 1984, Combining competing forecasts of inflation using a bivariate ARCH model, Journal of Economic Dynamics and Control, 8, 151, 10.1016/0165-1889(84)90031-9

Engle, 1985, Small sample properties of ARCH estimators and tests, Canadian Journal of Economics, 18, 66, 10.2307/135114

Engle, 1990

Engle, 1990, Meteor showers or heat waves?, Econometrica, 58, 525, 10.2307/2938189

Engle, 1990, Where does the meteor shower come from?

Engle, 1987, Estimating time varying risk premia in the term structure: The ARCH-M model, Econometrica, 55, 391, 10.2307/1913242

Engle, 1989

Engle, 1990, Asset pricing with a factor ARCH covariance structure: Empirical estimates for Treasury bills, Journal of Econometrics, 45, 213, 10.1016/0304-4076(90)90099-F

Evans, 1989

Evans, 1990, A modern look at asset pricing and short-term interest rates, NBER working paper no. 3245

Fama, 1965, The behavior of stock market prices, Journal of Business, 38, 34, 10.1086/294743

Fama, 1976, Inflation, uncertainty and expected returns on Treasury bills, Journal of Political Economy, 84, 427, 10.1086/260453

Fama, 1988, Dividend yields and expected stock returns, Journal of Financial Economics, 22, 3, 10.1016/0304-405X(88)90020-7

Ferson, 1989, Changes in expected security returns, risk and the level of interest rates, Journal of Finance, 44, 1191, 10.2307/2328639

Ferson, 1987, Tests of asset pricing with time varying risk premiums and market betas, Journal of Finance, 42, 201, 10.2307/2328249

Fishe, 1990, Did the Federal Reserve System really represent a regime change 1914?, American Economic Review, 80, 968

Frankel, 1982, In search of the exchange risk premium: A six currency test assuming mean-variance optimization, Journal of International Money and Finance, 1, 255, 10.1016/0261-5606(82)90019-5

Frankel, 1986, The implications of mean-variance optimization for four questions in international macroeconomics, Journal of International Money and Finance, 5, S53, 10.1016/0261-5606(86)90019-7

Frankel, 1988, Recent estimates of time-variation in the conditional variance and in the exchange risk premium, Journal of International Money and Finance, 7, 115, 10.1016/0261-5606(88)90011-3

Frankel, 1987, Using survey data to test standard propositions regarding exchange rate expectations, American Economic Review, 77, 133

French, 1986, Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics, 17, 5, 10.1016/0304-405X(86)90004-8

French, 1987, Expected stock returns and volatility, Journal of Financial Economics, 19, 3, 10.1016/0304-405X(87)90026-2

French, 1990

Friedman, 1988

Friedman, 1989, Economic implications of extraordinary movements in stock prices, Brookings Papers on Economic Activity, 2, 137, 10.2307/2534463

Friedman, 1982, Short-run fluctuations in foreign exchange rates, Journal of International Economics, 13, 171, 10.1016/0022-1996(82)90012-5

Froot, 1989, Forward discount bias: Is it an exchange risk premium?, Quarterly Journal of Economics, 103, 139, 10.2307/2937838

Gallant, 1981, On the bias in flexible functional forms and an essentially unbiased form: The Fourier flexible form, Journal of Econometrics, 15, 211, 10.1016/0304-4076(81)90115-9

Gallant, 1987, Seminonparametric maximum likelihood estimation, Econometrica, 55, 363, 10.2307/1913241

Gallant, 1989, Semi non-parametric estimation of conditionally constrained heterogeneous processes: Asset pricing applications, Econometrica, 57, 1091, 10.2307/1913624

Gallant, 1989

Gallant, 1989

Gallant, 1990

Gennotte, 1987

Geweke, 1986, Modeling the persistence of conditional variances: A comment, Econometric Reviews, 5, 57, 10.1080/07474938608800097

Geweke, 1988, Exact inference in models with autoregressive conditional heteroskedasticity, 73

Geweke, 1989, Exact predictive densities in linear models with ARCH disturbances, Journal of Econometrics, 44, 307

Geweke, 1989, Bayesian inference in econometric models using Monte Carlo integration, Econometrica, 57, 1317, 10.2307/1913710

Giovannini, 1989, The time variation of risk and return in the foreign exchange and stock markets, Journal of Finance, 44, 307, 10.2307/2328592

Giovannini, 1990

Glosten, 1985, Bid, ask and transactions prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 14, 71, 10.1016/0304-405X(85)90044-3

Glosten, 1991

Goodhart, 1990

Gourieroux, 1992, Qualitative threshold ARCH models, Journal of Econometrics, 10.1016/0304-4076(92)90069-4

Gregory, 1989, A non-parametric test for autoregressive conditional heteroskedasticity: A Markov-chain approach, Journal of Business and Economic Statistics, 7, 107, 10.2307/1391843

Grossman, 1987, Estimating the continuous time consumption based asset pricing model, Journal of Business and Economic Statistics, 5, 315, 10.2307/1391605

Hakkio, 1981, Expectations and the forward exchange rate, International Economic Review, 22, 663, 10.2307/2526167

Hall, 1988

Hamao, 1990, Correlations in price changes and volatility across international stock markets, Review of Financial Studies, 3, 281, 10.1093/rfs/3.2.281

Hamao, 1990

Hamilton, 1989, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57, 357, 10.2307/1912559

Hansen, 1990

Hardouvelis, 1988, The predictive power of the term structure during recent monetary regimes, Journal of Finance, 43, 339, 10.2307/2328464

Hardouvelis, 1990, Margin requirements, volatility and the transitory component of stock prices, American Economic Review, 80, 736

Hardouvelis, 1990, Do margin requirements stabilize the market?

Harris, 1989, S & P 500 cash stock price volatilities, Journal of Finance, 44, 1155, 10.2307/2328637

Harvey, 1992, Unobserved component time series models with ARCH disturbances, Journal of Econometrics, 10.1016/0304-4076(92)90068-3

Harvey, 1989

Harvey, 1991, The world price of covariance risk, Journal of Finance, 46, 111, 10.2307/2328691

Higgins, 1989, A joint test for ARCH and bilinearity in the regression model, Econometric Reviews, 7, 171, 10.1080/07474938808800151

Higgins, 1989

Hodrick, 1987

Hodrick, 1989, Risk, uncertainty, and exchange rates, Journal of Monetary Economics, 23, 433, 10.1016/0304-3932(89)90041-X

Hodrick, 1984, An investigation of risk and return in forward foreign exchange rates, Journal of International Money and Finance, 3, 5, 10.1016/0261-5606(84)90027-5

Hong, 1988

Hsieh, 1984, Tests of rational expectations and no risk premium in forward exchange markets, Journal of International Economics, 24, 129, 10.1016/0022-1996(88)90025-6

Hsieh, 1988, The statistical properties of daily foreign exchange rates: 1974–1983, Journal of International Economics, 24, 129, 10.1016/0022-1996(88)90025-6

Hsieh, 1988

Hsieh, 1989, Modeling heteroskedasticity in daily foreign exchange rates, Journal of Business and Economic Statistics, 7, 307, 10.2307/1391528

Hsieh, 1989, Testing for nonlinear dependence in daily foreign exchange rate changes, Journal of Business, 62, 339, 10.1086/296466

Hsieh, 1990

Hsieh, 1988

Hsieh, 1990, Margin regulation and stock market volatility, Journal of Finance, 45, 3, 10.2307/2328807

Humpage, 1990

Jorion, 1988, On jump processes in the foreign exchange and stock markets, Review of Financial Studies, 1, 427, 10.1093/rfs/1.4.427

Kaminsky, 1990, Can a time varying risk premium explain excess returns in the forward market for foreign exchange?, Journal of International Economics, 28, 47, 10.1016/0022-1996(90)90049-R

Kaplan, 1988

Karpoff, 1987, The relation between price changes and trading volume: A survey, Journal of Financial and Quantitative Analysis, 22, 399, 10.2307/2330874

Kearns, 1990

Kendall, 1989, Role of exchange rate volatility in U.S. import price pass-through relationships

Kendall, 1989

Kim, 1989, The time varying parameter model for modeling changing conditional variance: The case of the Lucas hypothesis, Journal of Business and Economic Statistics, 7, 433, 10.2307/1391644

Kim, 1989

King, 1990

Kodres, 1990

Kraft, 1983

Kroner, 1987

Kroner, 1991, Optimal currency composition of external debt: Applications to Indonesia and Turkey, Journal of International Money and Finance, 10, 131, 10.1016/0261-5606(91)90031-E

Kroner, 1991

Kroner, 1991, Foreign currency futures and time varying hedge ratios, Vol. II, 397

Kugler, 1990

Kupiec, 1990, Initial margin requirements and stock returns volatility: Another look, Journal of Financial Services Research, 3, 287, 10.1007/BF00122807

Lai, 1988

Lamoureux, 1990, Persistence in variance, structural change and the GARCH model, Journal of Business and Economic Statistics, 8, 225, 10.2307/1391985

Lamoureux, 1990, Heteroskedasticity in stock return data: Volume versus GARCH effects, Journal of Finance, 45, 221, 10.2307/2328817

Lamoureux, 1991

Lastrapes, 1989, Weekly exchange rate volatility and U.S. monetary policy regimes: An application of the ARCH model, Journal of Money, Credit and Banking, 21, 66, 10.2307/1992578

Lavi, 1979, Fisher, Phillips, Friedman and the measured impact of profits on returns, Journal of Finance, 34, 35, 10.2307/2327142

LeBaron, 1988

LeBaron, 1989

Lee, 1990

Lee, 1988, Does conditional covariance or conditional variance explain time varying risk premia in foreign exchange returns?, Economics Letters, 27, 371, 10.1016/0165-1765(88)90165-6

Lee, 1991, Term structure of interest rates in the Singapore Asian dollar market: ARCH-M modelling with autocorrelated non-normal errors, Journal of Applied Econometrics, 6, 143, 10.1002/jae.3950060204

Lin, 1989

Lin, 1991

Lintner, 1965, The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics, 47, 13, 10.2307/1924119

Ljung, 1978, On a measure of lag of fit in time series models, Biometrika, 67, 297, 10.1093/biomet/65.2.297

Lucas, 1978, Asset prices in a production economy, Econometrica, 46, 1429, 10.2307/1913837

Lumsdaine, 1991

Lyons, 1988, Tests of the foreign exchange risk premium using the expected 2nd moments implied by option pricing, Journal of International Money and Finance, 7, 91, 10.1016/0261-5606(88)90008-3

Malkiel, 1979, The capital formation problem in the United States, Journal of Finance, 34, 291, 10.2307/2326969

Mandelbrot, 1963, The variation of certain speculative prices, Journal of Business, 36, 394, 10.1086/294632

Mankiw, 1988, Risk and return: Consumption versus market beta, Review of Economics and Statistics, 68, 452, 10.2307/1926022

Mankiw, 1984, Do long-term interest rates overreact to short-term interest rates?, Brookings Papers on Economic Activity, 223, 10.2307/2534279

Mankiw, 1987, The adjustment of expectations to a change in regime: A study on the founding of the Federal Reserve, American Economic Review, 77, 358

Mankiw, 1990, The adjustment of expectations to a change in regime: A reply, American Economic Review, 80, 977

Mark, 1988, Time varying betas and risk premia in the pricing of forward foreign exchange contracts, Journal of Financial Economics, 22, 335, 10.1016/0304-405X(88)90074-8

McCulloch, 1985, Interest-risk sensitive deposit insurance premia - Stable ACH estimates, Journal of Banking and Finance, 9, 137, 10.1016/0378-4266(85)90066-4

McCurdy, 1987, Tests of the martingale hypothesis for foreign currency futures with time varying volatility, International Journal of Forecasting, 3, 131, 10.1016/0169-2070(87)90083-5

McCurdy, 1988, Testing the martingale hypothesis in Deutsche mark futures with models specifying the form of the heteroskedasticity, Journal of Applied Econometrics, 3, 187, 10.1002/jae.3950030303

McCurdy, 1991, Evidence of risk premia in foreign currency futures markets, Review of Financial Studies

McCurdy, 1991, Tests for systematic risk components in deviations from uncovered interest rate parity, Review of Economic Studies, 58, 587, 10.2307/2298013

McCurdy, 1992, A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators, Journal of Econometrics, 10.1016/0304-4076(92)90071-X

Meese, 1991, An empirical assessment of nonlinearities in models of exchange rated determination, Review of Economic Studies, 58, 603, 10.2307/2298014

Mehra, 1985, The equity premium: A puzzle, Journal of Monetary Economics, 15, 145, 10.1016/0304-3932(85)90061-3

Melino, 1989, Pricing foreign currency options with stochastic volatility, Journal of Econometrics, 45, 239, 10.1016/0304-4076(90)90100-8

Merton, 1973, An intertemporal capital asset pricing model, Econometrica, 41, 867, 10.2307/1913811

Merton, 1980, On estimating the expected return on the market, Journal of Financial Economics, 8, 323, 10.1016/0304-405X(80)90007-0

Milhøj, 1985, The moment structure of ARCH processes, Scandinavian Journal of Statistics, 12, 281

Milhøj, 1987, A conditional variance model for daily observations of an exchange rate, Journal of Business and Economic Statistics, 5, 99, 10.2307/1391219

Milhøj, 1987

Milhøj, 1987

Milhøj, 1990

Morgan, 1987, Measurement of abnormal returns from small firms, Journal of Business and Economic Statistics, 5, 121, 10.2307/1391222

Morgan, 1989

Mossin, 1966, Equilibrium in a capital asset market, Econometrica, 34, 768, 10.2307/1910098

Mundaca, 1990

Mussa, 1979, Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market, Vol. 11

Nelson, 1989, Modeling stock market volatility changes, 1989 Proceedings of the American Statistical Association, Business and Economic Statistics Section, 93

Nelson, 1990, Stationarity and persistence in the GARCH(1,1) model, Econometric Theory, 6, 318, 10.1017/S0266466600005296

Nelson, 1990, ARCH models as diffusion approximations, Journal of Econometrics, 45, 7, 10.1016/0304-4076(90)90092-8

Nelson, 1990, Conditional heteroskedasticity in asset returns: A new approach, Econometrica, 59, 347, 10.2307/2938260

Nelson, 1990

Nelson, 1992, Filtering and forecasting with misspecified ARCH models I: Getting the right variance with the wrong model, Journal of Econometrics, 10.1016/0304-4076(92)90065-Y

Nelson, 1991, A note on the inequality constraints in the univariate GARCH model, Journal of Business and Economic Studies

Ng, 1991, Tests of the CAPM with time varying covariances: A multivariate GARCH approach, Journal of Finance, 46, 1507, 10.2307/2328869

Ng, 1988

Ng, 1991, An examination of the behavior of international stock market volatility, Vol. II, 245

Pagan, 1984, Econometric issues in the analysis of regressions with generated regressors, International Economic Review, 25, 221, 10.2307/2648877

Pagan, 1986, Two stage and related estimators and their applications, Review of Economic Studies, 53, 517, 10.2307/2297604

Pagan, 1988, A note on the magnitude if risk premia, Journal of International Money and Finance, 7, 10, 10.1016/0261-5606(88)90009-5

Pagan, 1990, Non-parametric estimation and the risk premium

Pagan, 1987

Pagan, 1988

Pagan, 1990, Alternative models for conditional stock volatility, Journal of Econometrics, 45, 267, 10.1016/0304-4076(90)90101-X

Pagan, 1988, The econometric analysis of models with risk terms, Journal of Applied Econometrics, 3, 87, 10.1002/jae.3950030202

Pagan, 1983, Assessing the variability of inflation, Review of Economic Studies, 50, 585, 10.2307/2297762

Pantula, 1985

Pantula, 1986, Modeling the persistence of conditional variances: A comment, Econometric Reviews, 5, 71, 10.1080/07474938608800099

Papell, 1990

Park, 1987, Interest rate volatility, basis risk and heteroskedasticity in hedging mortgages, AREUEA Journal, 15, 79, 10.1111/1540-6229.00420

Parkinson, 1980, The extreme value method for estimating the variance of the rate of return, Journal of Business, 53, 61, 10.1086/296071

Perron, 1989, The great crash, the oil price shock, and the unit root hypothesis, Econometrica, 57, 1361, 10.2307/1913712

Pindyck, 1984, Risk, inflation and the stock market, American Economic Review, 74, 335

Pindyck, 1988, Risk aversion and determinants of stock market behavior, Review of Economics and Statistics, 70, 183, 10.2307/1928301

Poon, 1988, Three essays on price volatility and trading volume in financial markets

Poterba, 1986, The persistence of volatility and stock market fluctuations, American Economic Review, 76, 1142

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Rich, 1990

Priestly, 1981

Robinson, 1987, Adaptive estimation of heteroskedastic econometric models, Revista de Econometrica, 7, 5

Robinson, 1987, Asymptotically efficient estimation in the presence of heteroskedasticity of unknown form, Econometrica, 55, 875, 10.2307/1911033

Robinson, 1988, Semiparametric econometrics: A survey, Journal of Applied Econometrics, 3, 35, 10.1002/jae.3950030103

Robinson, 1991, Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression, Journal of Econometrics, 47, 67, 10.1016/0304-4076(91)90078-R

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Scheinkman, 1989, Nonlinear dynamics and stock returns, Journal of Business, 62, 311, 10.1086/296465

Schwert, 1989, Why does stock market volatility change over time?, Journal of Finance, 44, 1115, 10.2307/2328636

Schwert, 1989, Business cycles, financial crises, and stock volatility, Carnegie-Rochester Conference Series on Public Policy, 39, 83, 10.1016/0167-2231(89)90006-7

Schwert, 1989, Margin requirements and stock volatility, Journal of Financial Services Research, 3, 153, 10.1007/BF00122799

Schwert, 1990, Stock volatility and the crash of 87, Review of Financial Studies, 3, 77, 10.1093/rfs/3.1.77

Schwert, 1990, Indexes of United States stock prices from 1802 to 1987, Journal of Business, 63, 399, 10.1086/296513

Schwert, 1990, Heteroskedasticity in stock returns, Journal of Finance, 45, 1129, 10.2307/2328718

Seguin, 1990, Stock volatility and margin trading, Journal of Monetary Economics, 26, 101, 10.1016/0304-3932(90)90033-Z

Sentana, 1990

Sentana, 1989

Sentana, 1991, Feedback traders and stock returns autocorrelations: Evidence from a century of daily data, Review of Economic Studies, 58, 547, 10.2307/2298011

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Shephard, 1990

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Shiller, 1983, Forward rats and future policy: Interpreting the term structure of interest rates, Brookings Paper on Economic Activity, 173, 10.2307/2534355

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Smith, 1987

Steeley, 1990

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Tapia, 1978

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Taylor, 1986

Taylor, 1987, Forecasting the volatility of currency exchange rates, Journal of International Forecasting, 3, 159, 10.1016/0169-2070(87)90085-9

Taylor, 1990

Taylor, 1990, Efficiency of the yen futures market at the Chicago Mercantile Exchange

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