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Original Articles

Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review

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Pages 271-324 | Received 01 Jan 2003, Accepted 01 Dec 2003, Published online: 09 Feb 2016

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Chin Wen Cheong, Abu Hassan Shaari Mohd Nor & Zaidi Isa. (2007) Asymmetry and long-memory volatility: Some empirical evidence using GARCH. Physica A: Statistical Mechanics and its Applications 373, pages 651-664.
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Charlie X. Cai, Robert W. Faff, David J. Hillier & Michael D. McKenzie. (2006) Modelling return and conditional volatility exposures in global stock markets. Review of Quantitative Finance and Accounting 27:2, pages 125-142.
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Timotheos Angelidis & Stavros Degiannakis. (2005) Modeling risk for long and short trading positions. The Journal of Risk Finance 6:3, pages 226-238.
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Evdokia Xekalaki & Stavros Degiannakis. (2005) Evaluating volatility forecasts in option pricing in the context of a simulated options market. Computational Statistics & Data Analysis 49:2, pages 611-629.
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Stavros Degiannakis & Evdokia Xekalaki. (2005) Predictability and model selection in the context of ARCH models. Applied Stochastic Models in Business and Industry 21:1, pages 55-82.
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Timotheos Angelidis, Alexandros Benos & Stavros Degiannakis. (2004) The use of GARCH models in VaR estimation. Statistical Methodology 1:1-2, pages 105-128.
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Stavros Antonios Degiannakis & Evdokia Xekalaki. (2005) On the Independence of the Standardized One-Step-Ahead Prediction Errors in ARCH Models. SSRN Electronic Journal.
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Timotheos Angelidis & Stavros Antonios Degiannakis. (2005) Volatility Forecasting: The Illusion of Choosing One Model in All Cases. SSRN Electronic Journal.
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Timotheos Angelidis & Stavros Antonios Degiannakis. (2004) VAR and Intraday Volatility Forecasting: The Case of the Athens Stock Exchange. SSRN Electronic Journal.
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Melike Bildirici & Ozgur Omer Ersin. (2012) Markov Switching Artificial Neural Networks and Volatility Modeling with an Application to a Turkish Stock Index. SSRN Electronic Journal.
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Tim Bollerslev. (2008) Glossary to ARCH (GARCH). SSRN Electronic Journal.
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