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Dynamic Conditional Correlation
Article
Article
Dynamic Conditional Correlation
Robert F. Engle · Journal of Business and Economic Statistics · 2002
Time varying correlations are often estimated with multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models that are linear in squares and cross products of the data. A new class of multivari...
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Conditional Heteroskedasticity in Asset Returns: A New Approach
Article
Article
Conditional Heteroskedasticity in Asset Returns: A New Approach
Daniel B. Nelson · Econometrica · 1991
This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility changes), (2) eliminates the need for inequal...
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Fractional Brownian Motions, Fractional Noises and Applications
Article
Article
Fractional Brownian Motions, Fractional Noises and Applications
Benoît B. Mandelbrot; John W. Van Ness · SIAM Review · 1968
Previous article Next article Fractional Brownian Motions, Fractional Noises and ApplicationsBenoit B. Mandelbrot and John W. Van NessBenoit B. Mandelbrot and John W. Van Nesshttps://doi.org/10.1137/1010093PDFBibTexSecti...
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
Article
Article
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
Lawrence R. Glosten; Ravi Jagannathan; David E. Runkle · The Journal of Finance · 1993
ABSTRACT We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH‐M model modified by allowing (1) seasonal patterns in volatility, (...
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