References
- Baillie , R. T. and Bollerslev , T. 1989 . The message in daily exchange rates: a conditional-variance tale . Journal of Business and Economic Statistics , 7 : 297 – 305 .
- Bollerslev , T. , Chou , R. Y. and Kroner , K. F. 1992 . ARCH modelling in finance: a review of the theory and empirical evidence . Journal of Econometrics , 52 : 5 – 29 .
- Engle , R. F. 1982 . Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1007 .
- Engle , R. F. and Ng , V. K. 1993 . Measuring and testing the impact of news on volatility . Journal of Finance , 48 : 1749 – 1778 .
- Glosten , L. R. , Jagannathan , R. and Runkle , D. E. 1993 . On the relation between the expected value and the volatility of the nominal excess return on stocks . Journal of Finance , 48 : 1779 – 1801 .
- Nelson , D. B. 1990 . ARCH models as diffusion approximations . Journal of Econometrics , 45 : 7 – 38 .
- Nelson , D. B. 1991 . Conditional heteroscedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 370 .
- Nelson , D. B. 1992 . Filtering and forecasting with mis-specified ARCH models I: getting the right variance with the wrong model . Journal of Econometrics , 52 : 61 – 90 .
- Nelson , D. B. and Foster , D. P. 1992 . Filtering and forecasting with mis-specified ARCH models II: making the right forecast with the wrong model , Working Paper No. 132 National Bureau of Economic Research .