References
- Bollerslev , T. 1986 . Generalized autogressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 327 .
- Bollerslev , T. , Chou , R. and Kroner , K. 1992 . ARCH modelling in finance: a review of the theory and empirical evidence . Journal of Econometrics , 52 : 5 – 59 .
- Day , T. and Lewis , C. 1992 . Stock market volatility and the information content of stock index options . Journal of Econometrics , 52 : 267 – 287 .
- Engle , R. F. 1982 . Autogressive conditional heteroskedasticity with estimates of the variance of UK inflation . Econometrica , 50 : 987 – 1008 .
- Engle , R. F. and Ng , V. 1993 . Measuring and testing the impact of news on volatility . Journal of Finance , 48 : 1749 – 1778 .
- Glosten , L. , Jagannathan , R. and Runkle , D. 1992 . On the relation between the expected value and the volatility of nominal excess return on stocks . Journal of Finance , 46 : 1779 – 1801 .
- Granger , C. W. J. 1992 . Forecasting stock market prices: Lessons for forecasters . International Journal of Forecasting , 8 : 3 – 13 .
- Nelson , D. 1990 . Conditional heteroskedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 370 .
- Pagan , A. R. and Schwert , G. W. 1990 . Alternative models for conditional stock market volatility . Journal of Econometrics , 45 : 267 – 290 .
- Sentana , E. 1995 . Quadratic ARCH models . Review of Economic Studies , 62 : 639 – 661 .
![Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.]({"type":"image" , "src" : "/sda/112440/MPU-Jenni-AI-ECONOMICS.png"})