ناشر: اورموشن / Evermotionنام فارسی: آرچ مدل 93: مدل های آماده سه بعدی آبجکت آماده از انواع موتور سیکلت با رنگ و نوع مختلف و ...فرمت فایل: 3DS, DXF, JPG, MAX, OBJحجم فایل: 36.1 مگابایتتاریخ انتشار: 10:40 - 1394/3/23 2015.06.13منبع: پی سی دانلود / www.p30download.irامتیاز: 2.5/5
As the access to this document is restricted, you may want to search for a different version of it. References listed on IDEAS asHTMLHTML with abstractplain textplain text with abstractBibTeXRIS (EndNote, RefMan, ProCite)ReDIFJSON Geweke, John, 1989."Bayesian Inference in Econometric Models Using Monte Carlo Integration,"Econometrica, Econometric Society, vol. 57(6), pages 1317-1339, November. Nelson, Daniel B., 1990."ARCH models as diffusion approximations,"Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38. Drost, Feike C & Nijman, Theo E, 1993."Temporal Aggregation of GARCH Processes,"Econometrica, Econometric Society, vol. 61(4), pages 909-927, July. Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes,"Papers 9066, Tilburg - Center for Economic Research. Drost, F.C. & Nijman, T.E., 1992. "Temporal aggregation of GARCH processes,"Other publications TiSEM afe8fdcf-5f83-44b5-8da3-5, Tilburg University, School of Economics and Management. Drost, F.C. & Nijman, T.E., 1992. "Temporal Aggregation of Garch Processes,"Papers 9240, Tilburg - Center for Economic Research. Drost, F.C. & Nijman, T.E., 1993. "Temporal aggregation of GARCH processes,"Other publications TiSEM 0642fb61-c7f4-4281-b484-4, Tilburg University, School of Economics and Management. Drost, F.C. & Nijman, T.E., 1992. "Temporal aggregation of GARCH processes,"Discussion Paper 1992-40, Tilburg University, Center for Economic Research. Drost, F.C. & Nijman, T.E., 1990. "Temporal aggregation of GARCH processes,"Other publications TiSEM 929bb665-083a-4d60-906d-e, Tilburg University, School of Economics and Management. Drost, F.C. & Nijman, T.E., 1994. "Temporal aggregation of GARCH processes,"Other publications TiSEM b6718003-2fa5-43bb-a690-d, Tilburg University, School of Economics and Management. Drost, F.C. & Nijman, T.E., 1990. "Temporal aggregation of GARCH processes,"Discussion Paper 1990-66, Tilburg University, Center for Economic Research. Campbell, John Y. & Hentschel, Ludger, 1992."No news is good news *1: An asymmetric model of changing volatility in stock returns,"Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June. John Y. Campbell & Ludger Hentschel, 1991. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns,"NBER Working Papers 3742, National Bureau of Economic Research, Inc. Hentschel, Ludger & Campbell, John, 1992. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns,"Scholarly Articles 3220232, Harvard University Department of Economics. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990."Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market,"Econometrica, Econometric Society, vol. 58(3), pages 525-542, May. Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market,"NBER Working Papers 2609, National Bureau of Economic Research, Inc. Engel, R.F. & Ito, T. & Lin, W-L., 1988. "Meteor Showers Or Heat Wages? Heteroskedastic Intra-Daily Volatility In A The Foreign Exchange Market,"Papers 246, Minnesota - Center for Economic Research. Diebold, Francis X & Nerlove, Marc, 1989."The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model,"Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar.. Francis X. Diebold & Marc Nerlove, 1986. "The dynamics of exchange rate volatility: a multivariate latent factor ARCH model,"Special Studies Papers 205, Board of Governors of the Federal Reserve System (U.S.). Wiggins, James B, 1991."Empirical Tests of the Bias and Efficiency of the Extreme-Value Variance Estimator for Common Stocks,"The Journal of Business, University of Chicago Press, vol. 64(3), pages 417-432, July. Melino, Angelo & Turnbull, Stuart M., 1990."Pricing foreign currency options with stochastic volatility,"Journal of Econometrics, Elsevier, vol. 45(1-2), pages 239-265. Ng, Victor & Engle, Robert F. & Rothschild, Michael, 1992."A multi-dynamic-factor model for stock returns,"Journal of Econometrics, Elsevier, vol. 52(1-2), pages 245-266. Nelson, Daniel B. & Foster, Dean P., 1995."Filtering and forecasting with misspecified ARCH models II : Making the right forecast with the wrong model,"Journal of Econometrics, Elsevier, vol. 67(2), pages 303-335, June. Daniel B. Nelson & Dean P. Foster, 1992. "Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model,"NBER Technical Working Papers 0132, National Bureau of Economic Research, Inc. Blattberg, Robert C & Gonedes, Nicholas J, 1974."A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices,"The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-280, April. Baeck, E.G. & Brock, W.A., 1992. "A Nonparametric Test for Independence of a Multivariate Time Series,"Working papers 9204, Wisconsin Madison - Social Systems. Robert F. Stambaugh, "undated". "Estimating Conditional Expectations When Volatility Fluctuates,"Rodney L. White Center for Financial Research Working Papers 17-93, Wharton School Rodney L. White Center for Financial Research. Robert F. Stambaugh, 1993. "Estimating Conditional Expectations when Volatility Fluctuates,"NBER Technical Working Papers 0140, National Bureau of Economic Research, Inc. LeBaron, Blake, 1992."Some Relations between Volatility and Serial Correlations in Stock Market Returns,"The Journal of Business, University of Chicago Press, vol. 65(2), pages 199-219, April. Lebaron, B., 1990. "Some Relations Between Volatility And Serial Correlations In Stock Market Returns,"Working papers 9002, Wisconsin Madison - Social Systems. Demos, Antonis & Sentana, Enrique, 1998."Testing for GARCH effects: a one-sided approach,"Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June. Antonis Demos & Enrique Sentana, 1996. "Testing for GARCH Effects: A One-Sided Approach,"Working Papers wp1996_9611, CEMFI. Schwert, G William & Seguin, Paul J, 1990."Heteroskedasticity in Stock Returns,"Journal of Finance, American Finance Association, vol. 45(4), pages 1129-1155, September. Schwert, G.W. & Seguin, P.J., 1988. "Heteroskedasticity In Stock Returns,"Papers bc_88-02, Rochester, Business - General. G. William Schwert & Paul J. Seguin, 1989. "Heteroskedasticity in Stock Returns,"NBER Working Papers 2956, National Bureau of Economic Research, Inc. Baillie, Richard T. & Bollerslev, Tim, 1990."A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets,"Journal of International Money and Finance, Elsevier, vol. 9(3), pages 309-324, September. Engle, Robert F & Kozicki, Sharon, 1993."Testing for Common Features,"Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-380, October. Robert F. Engle & Sharon Kozicki, 1990. "Testing For Common Features,"NBER Technical Working Papers 0091, National Bureau of Economic Research, Inc. Baillie, Richard T & Bollerslev, Tim, 2002."The Message in Daily Exchange Rates: A Conditional-Variance Tale,"Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January. Baillie, Richard T & Bollerslev, Tim, 1989."The Message in Daily Exchange Rates: A Conditional-Variance Tale,"Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 297-305, July. Tom Doan, "undated"."RATS program to replicate Baillie and Bollerslev GARCH models with day-of-week effects,"Statistical Software ComponentsRTZ00172, Boston College Department of Economics. Lin, Wen-Ling, 1992."Alternative Estimators for Factor GARCH Models--A Monte Carlo Comparison,"Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 259-279, July-Sept. Baillie, Richard T. & Bollerslev, Tim, 1992."Prediction in dynamic models with time-dependent conditional variances,"Journal of Econometrics, Elsevier, vol. 52(1-2), pages 91-113. Baillie, R.T. & Bollerslev, R.T., 1990. "Prediction In Dynamic Models With Time Dependent Conditional Variances,"Papers 8815, Michigan State - Econometrics and Economic Theory. Rich, R W & Raymond, J E & Butler, J S, 1992."The Relationship between Forecast Dispersion and Forecast Uncertainty: Evidence from a Survey Data-ARCH Model,"Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(2), pages 131-148, April-Jun. Patell, Jm & Wolfson, Ma, 1981."The Ex Ante And Ex Post Price Effects Of Quarterly Earnings Announcements Reflected In Option And Stock-Prices,"Journal of Accounting Research, Wiley Blackwell, vol. 19(2), pages 434-458. Harvey, Andrew & Ruiz, Esther & Sentana, Enrique, 1992."Unobserved component time series models with Arch disturbances,"Journal of Econometrics, Elsevier, vol. 52(1-2), pages 129-157. Schwert, G William, 1989." Why Does Stock Market Volatility Change over Time?,"Journal of Finance,American Finance Association, vol. 44(5), pages 1115-1153, December. G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?,"NBER Working Papers 2798, National Bureau of Economic Research, Inc. A. R. Pagan & A. D. Hall & P. K. Trivedi, 1983."Assessing the Variability of Inflation,"Review of Economic Studies, Oxford University Press, vol. 50(4), pages 585-596. Orazio P. Attanasio, 1991."Risk, Time-Varying Second Moments and Market Efficiency,"Review of Economic Studies, Oxford University Press, vol. 58(3), pages 479-494. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993."Nonlinear Dynamic Structures,"Econometrica, Econometric Society, vol. 61(4), pages 871-907, July. Gourieroux, Christian & Monfort, Alain, 1992."Qualitative threshold ARCH models,"Journal of Econometrics, Elsevier, vol. 52(1-2), pages 159-199. Gourieroux Christian & Monfort Alain, 1991. "Qualitative threshold arch models,"CEPREMAP Working Papers (Couverture Orange) 9109, CEPREMAP. Drost, Feike C & Nijman, Theo E, 1993."Temporal Aggregation of GARCH Processes,"Econometrica, Econometric Society, vol. 61(4), pages 909-927, July. Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes,"Papers 9066, Tilburg - Center for Economic Research. Drost, F.C. & Nijman, T.E., 1992. "Temporal aggregation of GARCH processes,"Other publications TiSEM afe8fdcf-5f83-44b5-8da3-5, Tilburg University, School of Economics and Management. Drost, F.C. & Nijman, T.E., 1990. "Temporal aggregation of GARCH processes,"Discussion Paper 1990-66, Tilburg University, Center for Economic Research. Drost, F.C. & Nijman, T.E., 1992. "Temporal Aggregation of Garch Processes,"Papers 9240, Tilburg - Center for Economic Research. Drost, F.C. & Nijman, T.E., 1993. "Temporal aggregation of GARCH processes,"Other publications TiSEM 0642fb61-c7f4-4281-b484-4, Tilburg University, School of Economics and Management. Drost, F.C. & Nijman, T.E., 1992. "Temporal aggregation of GARCH processes,"Discussion Paper 1992-40, Tilburg University, Center for Economic Research. Drost, F.C. & Nijman, T.E., 1990. "Temporal aggregation of GARCH processes,"Other publications TiSEM 929bb665-083a-4d60-906d-e, Tilburg University, School of Economics and Management. Drost, F.C. & Nijman, T.E., 1994. "Temporal aggregation of GARCH processes,"Other publications TiSEM b6718003-2fa5-43bb-a690-d, Tilburg University, School of Economics and Management. Engle, Robert F & Kozicki, Sharon, 1993."Testing for Common Features: Reply,"Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-395, October. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993."On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks,"Staff Report 157, Federal Reserve Bank of Minneapolis. Pagan, Adrian R. & Schwert, G. William, 1990."Alternative models for conditional stock volatility,"Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290. Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility,"Papers 89-02, Rochester, Business - General. Adrian R. Pagan & G. William Schwert, 1989. "Alternative Models For Conditional Stock Volatility,"NBER Working Papers 2955, National Bureau of Economic Research, Inc. Bollerslev, Tim, 1986."Generalized autoregressive conditional heteroskedasticity,"Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity,"EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988."A Capital Asset Pricing Model with Time-Varying Covariances,"Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February. Bollerslev, Tim & Engle, Robert F, 1993."Common Persistence in Conditional Variances,"Econometrica, Econometric Society, vol. 61(1), pages 167-186, January. Lamoureux, Christopher G & Lastrapes, William D, 1990."Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects,"Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March. Parkinson, Michael, 1980."The Extreme Value Method for Estimating the Variance of the Rate of Return,"The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January. Engle, Robert & Granger, Clive, 2015."Co-integration and error correction: Representation, estimation, and testing,"Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135. Engle, Robert F & Granger, Clive W J, 1987."Co-integration and Error Correction: Representation, Estimation, and Testing,"Econometrica, Econometric Society, vol. 55(2), pages 251-276, March. Higgins, Matthew L & Bera, Anil K, 1992."A Class of Nonlinear ARCH Models,"International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(1), pages 137-158, February. Bekaert, Geert & Hodrick, Robert J., 1993."On biases in the measurement of foreign exchange risk premiums,"Journal of International Money and Finance, Elsevier, vol. 12(2), pages 115-138, April. Geert Bekaert & Robert J. Hodrick, 1991. "On Biases in the Measurement of Foreign Exchange Risk Premiums,"NBER Working Papers 3861, National Bureau of Economic Research, Inc. Adrian Pagan, 1986."Two Stage and Related Estimators and Their Applications,"Review of Economic Studies, Oxford University Press, vol. 53(4), pages 517-538. Adrian Pagan, 1985. "Two Stage and Related Estimators and Their Applications,"Cowles Foundation Discussion Papers 741, Cowles Foundation for Research in Economics, Yale University. Nelson, Daniel B & Cao, Charles Q, 1992."Inequality Constraints in the Univariate GARCH Model,"Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-235, April. Tim Bollerslev, 1988."On The Correlation Structure For The Generalized Autoregressive Conditional Heteroskedastic Process,"Journal of Time Series Analysis, Wiley Blackwell, vol. 9(2), pages 121-131, March. White, Halbert, 1980."A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity,"Econometrica, Econometric Society, vol. 48(4), pages 817-838, May. Hsieh, David A, 1991."Chaos and Nonlinear Dynamics: Application to Financial Markets,"Journal of Finance, American Finance Association, vol. 46(5), pages 1839-1877, December. French, Kenneth R. & Roll, Richard, 1986."Stock return variances : The arrival of information and the reaction of traders,"Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September. Harvey, Campbell R & Huang, Roger D, 1991."Volatility in the Foreign Currency Futures Market,"Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 543-569. Murphy, Kevin M & Topel, Robert H, 2002."Estimation and Inference in Two-Step Econometric Models,"Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 88-97, January. Murphy, Kevin M & Topel, Robert H, 1985."Estimation and Inference in Two-Step Econometric Models,"Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 370-379, October. Engle, Robert F. & Mustafa, Chowdhury, 1992."Implied ARCH models from options prices,"Journal of Econometrics, Elsevier, vol. 52(1-2), pages 289-311. Barnett,William A. & Powell,James & Tauchen,George E. (ed.), 1991."Nonparametric and Semiparametric Methods in Econometrics and Statistics,"Cambridge Books,Cambridge University Press, number 9780521424318. Nelson, Daniel B., 1992."Filtering and forecasting with misspecified ARCH models I : Getting the right variance with the wrong model,"Journal of Econometrics, Elsevier, vol. 52(1-2), pages 61-90. Breusch, T S & Pagan, A R, 1979."A Simple Test for Heteroscedasticity and Random Coefficient Variation,"Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September. Clark, Peter K, 1973."A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices,"Econometrica, Econometric Society, vol. 41(1), pages 135-155, January. Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990."Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills,"Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237. Robert F. Engle & Victor Ng & Michael Rothschild, 1988. "Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills,"NBER Technical Working Papers 0065, National Bureau of Economic Research, Inc. Kodde, David A & Palm, Franz C, 1986."Wald Criteria for Jointly Testing Equality and Inequality Restriction s,"Econometrica, Econometric Society, vol. 54(5), pages 1243-1248, September. McCurdy, Thomas H. & Stengos, Thanasis, 1992."A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators,"Journal of Econometrics, Elsevier, vol. 52(1-2), pages 225-244. Thomas H. McCurdy & Thansis Stengos, 1991. "A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators,"Working Paper 843, Economics Department, Queen's University. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992."ARCH modeling in finance : A review of the theory and empirical evidence,"Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59. Pagan, Adrian & Ullah, Aman, 1988."The Econometric Analysis of Models with Risk Terms,"Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 87-105, April. Bollerslev, Tim, 1990."Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model,"The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August. Weiss, Andrew A., 1986."Asymptotic Theory for ARCH Models: Estimation and Testing,"Econometric Theory, Cambridge University Press, vol. 2(1), pages 107-131, April. Watson, Mark W & Engle, Robert F, 1985."Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative,"The Review of Economics and Statistics, MIT Press, vol. 67(2), pages 341-346, May. Scott, Louis O., 1987."Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application,"Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(4), pages 419-438, December. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991."Semiparametric ARCH Models,"Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-359, October. McDonald, James B. & Newey, Whitney K., 1988."Partially Adaptive Estimation of Regression Models via the Generalized T Distribution,"Econometric Theory, Cambridge University Press, vol. 4(3), pages 428-457, December. Merton, Robert C., 1980."On estimating the expected return on the market : An exploratory investigation,"Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December. Robert C. Merton, 1980. "On Estimating the Expected Return on the Market: An Exploratory Investigation,"NBER Working Papers 0444, National Bureau of Economic Research, Inc. Harris, Lawrence, 1986."A transaction data study of weekly and intradaily patterns in stock returns,"Journal of Financial Economics, Elsevier, vol. 16(1), pages 99-117, May. Poterba, James M & Summers, Lawrence H, 1986."The Persistence of Volatility and Stock Market Fluctuations,"American Economic Review, American Economic Association, vol. 76(5), pages 1142-1151, December. James M. Poterba & Lawrence H. Summers, 1984. "The Persistence of Volatility and Stock Market Fluctuations,"Working papers 353, Massachusetts Institute of Technology (MIT), Department of Economics. James M. Poterba & Lawrence H. Summers, 1984. "The Persistence of Volatility and Stock Market Fluctuations,"NBER Working Papers 1462, National Bureau of Economic Research, Inc. Robert F. Engle & David F. Hendry & David Trumble, 1985."Small-Sample Properties of ARCH Estimators and Tests,"Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 66-93, February. Pagan, Adrian, 1984."Econometric Issues in the Analysis of Regressions with Generated Regressors,"International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-247, February. Gallant, Ronald & Tauchen, George, 1989."Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications,"Econometrica, Econometric Society, vol. 57(5), pages 1091-1120, September. Gallant, A.R. & Tauchen, G., 1988. "Seminonparametric Estimation Of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications,"Papers 88-59, Chicago - Graduate School of Business. Engle, Robert F, 1982."Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,"Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. Drost, Feike C & Nijman, Theo E, 1993."Temporal Aggregation of GARCH Processes,"Econometrica, Econometric Society, vol. 61(4), pages 909-927, July. Drost, F.C. & Nijman, T.E., 1990. "Temporal aggregation of GARCH processes,"Other publications TiSEM 929bb665-083a-4d60-906d-e, Tilburg University, School of Economics and Management. Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes,"Papers 9066, Tilburg - Center for Economic Research. Drost, F.C. & Nijman, T.E., 1992. "Temporal aggregation of GARCH processes,"Other publications TiSEM afe8fdcf-5f83-44b5-8da3-5, Tilburg University, School of Economics and Management. Drost, F.C. & Nijman, T.E., 1990. "Temporal aggregation of GARCH processes,"Discussion Paper 1990-66, Tilburg University, Center for Economic Research. Drost, F.C. & Nijman, T.E., 1994. "Temporal aggregation of GARCH processes,"Other publications TiSEM b6718003-2fa5-43bb-a690-d, Tilburg University, School of Economics and Management. Drost, F.C. & Nijman, T.E., 1992. "Temporal Aggregation of Garch Processes,"Papers 9240, Tilburg - Center for Economic Research. Drost, F.C. & Nijman, T.E., 1993. "Temporal aggregation of GARCH processes,"Other publications TiSEM 0642fb61-c7f4-4281-b484-4, Tilburg University, School of Economics and Management. Drost, F.C. & Nijman, T.E., 1992. "Temporal aggregation of GARCH processes,"Discussion Paper 1992-40, Tilburg University, Center for Economic Research. Schwert, G William, 1990."Indexes of U.S. Stock Prices from 1802 to 1987,"The Journal of Business, University of Chicago Press, vol. 63(3), pages 399-426, July. Nelson, Daniel B, 1991."Conditional Heteroskedasticity in Asset Returns: A New Approach,"Econometrica, Econometric Society, vol. 59(2), pages 347-370, March. Scheinkman, Jose A & LeBaron, Blake, 1989."Nonlinear Dynamics and Stock Returns,"The Journal of Business, University of Chicago Press, vol. 62(3), pages 311-337, July. Gerard Gennotte and Terry A. Marsh., 1991. "Variations in Economic Uncertainty and Risk Premiums on Capital Assets,"Research Program in Finance Working Papers RPF-210, University of California at Berkeley. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993."A long memory property of stock market returns and a new model,"Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June. Andrew A. Weiss, 1984."Arma Models With Arch Errors,"Journal of Time Series Analysis, Wiley Blackwell, vol. 5(2), pages 129-143, March. Tauchen, George E & Pitts, Mark, 1983."The Price Variability-Volume Relationship on Speculative Markets,"Econometrica, Econometric Society, vol. 51(2), pages 485-505, March. Brock, William A. & Kleidon, Allan W., 1992."Periodic market closure and trading volume : A model of intraday bids and asks,"Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489. Karpoff, Jonathan M., 1987."The Relation between Price Changes and Trading Volume: A Survey,"Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 109-126, March. Chou, Ray Yeutien, 1988."Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch,"Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 279-294, October-D. Tauchen, George, 1985."Diagnostic testing and evaluation of maximum likelihood models,"Journal of Econometrics, Elsevier, vol. 30(1-2), pages 415-443. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987."Expected stock returns and volatility,"Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September. Wiggins, James B., 1987."Option values under stochastic volatility: Theory and empirical estimates,"Journal of Financial Economics, Elsevier, vol. 19(2), pages 351-372, December. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974."Estimation and Inference in Nonlinear Structural Models,"NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665,National Bureau of Economic Research, Inc. Patell, James M. & Wolfson, Mark A., 1979."Anticipated information releases reflected in call option prices,"Journal of Accounting and Economics, Elsevier, vol. 1(2), pages 117-140, August. Engle, Robert F & Susmel, Raul, 1993."Common Volatility in International Equity Markets,"Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 167-176, April. Geweke, John, 1989."Exact predictive densities for linear models with arch disturbances,"Journal of Econometrics, Elsevier, vol. 40(1), pages 63-86, January. Wolak, Frank A, 1991."The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models,"Econometrica, Econometric Society, vol. 59(4), pages 981-995, July. Barnett,William A. & Powell,James & Tauchen,George E. (ed.), 1991."Nonparametric and Semiparametric Methods in Econometrics and Statistics,"Cambridge Books,Cambridge University Press, number 9780521370905. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990."Correlations in Price Changes and Volatility across International Stock Markets,"Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307. Merton, Robert C, 1973."An Intertemporal Capital Asset Pricing Model,"Econometrica, Econometric Society, vol. 41(5), pages 867-887, September. Gourieroux, Christian & Holly, Alberto & Monfort, Alain, 1982."Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters,"Econometrica, Econometric Society, vol. 50(1), pages 63-80, January. Christie, Andrew A., 1982."The stochastic behavior of common stock variances : Value, leverage and interest rate effects,"Journal of Financial Economics, Elsevier, vol. 10(4), pages 407-432, December. Wen-Ling Lin & Robert F. Engle & Takatoshi Ito, 1991. "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns,"NBER Working Papers 3911, National Bureau of Economic Research, Inc. Wen-Ling Lin & Robert F. Engle & Takatoshi Ito, 1992. "Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns,"Discussion Paper Series a253, Institute of Economic Research, Hitotsubashi University. Lin, W.L. & Engle, R.F. & Ito, T., 1991. "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns,"Working papers 9121, Wisconsin Madison - Social Systems. Lee, John H H & King, Maxwell L, 1993."A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances,"Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 17-27, January. Harvey, Andrew C & Koopman, Siem Jan, 1992."Diagnostic Checking of Unobserved-Components Time Series Models,"Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 377-389, October. MacKinnon, James G. & White, Halbert, 1985."Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties,"Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September. James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties,"Working Paper 537, Economics Department, Queen's University. Wooldridge, Jeffrey M., 1990."A Unified Approach to Robust, Regression-Based Specification Tests,"Econometric Theory, Cambridge University Press, vol. 6(1), pages 17-43, March. Black, Fischer & Scholes, Myron S, 1973."The Pricing of Options and Corporate Liabilities,"Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June. Newey, Whitney K, 1985."Maximum Likelihood Specification Testing and Conditional Moment Tests,"Econometrica, Econometric Society, vol. 53(5), pages 1047-1070, September. Engle, Robert F, 1990."Stock Volatility and the Crash of '87: Discussion,"Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 103-106. Hong, Eun Pyo, 1991."The autocorrelation structure for the GARCH-M process,"Economics Letters, Elsevier, vol. 37(2), pages 129-132, October. Bollerslev, Tim, 1987."A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return,"The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987."Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model,"Econometrica, Econometric Society, vol. 55(2), pages 391-407, March. Benoit Mandelbrot, 2015."The Variation of Certain Speculative Prices,"World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78,World Scientific Publishing Co. Pte. Ltd.. Benoit Mandelbrot, 1963."The Variation of Certain Speculative Prices,"The Journal of Business, University of Chicago Press, vol. 36, pages 394-394. Bollerslev, Tim & Domowitz, Ian, 1993."Trading Patterns and Prices in the Interbank Foreign Exchange Market,"Journal of Finance, American Finance Association, vol. 48(4), pages 1421-1443, September. Nelson, Daniel B., 1990."Stationarity and Persistence in the GARCH(1,1) Model,"Econometric Theory, Cambridge University Press, vol. 6(3), pages 318-334, September. Zarnowitz, Victor & Lambros, Louis A, 1987."Consensus and Uncertainty in Economic Prediction,"Journal of Political Economy, University of Chicago Press, vol. 95(3), pages 591-621, June. Hull, John C & White, Alan D, 1987."The Pricing of Options on Assets with Stochastic Volatilities,"Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992."Stock Prices and Volume,"Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.Full references (including those not matched with items on IDEAS) Most related itemsThese are the items that most often cite the same works as this one and are cited by the same works as this one. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review,"MPRA Paper 80487, University Library of Munich, Germany. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991."es modéles ARCH en finance : un point sur la théorie et les résultats empiriques,"Annals of Economics and Statistics, GENES, issue 24, pages 1-59. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992."ARCH modeling in finance : A review of the theory and empirical evidence,"Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility,"Papers 95.400, Toulouse - GREMAQ. GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility,"LIDAM Discussion Papers CORE 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility,"Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility,"CIRANO Working Papers 95s-49, CIRANO. Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility,"Cahiers de recherche 9613, Centre interuniversitaire de recherche en Ãconomie quantitative, CIREQ. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006."Volatility and Correlation Forecasting,"Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878,Elsevier. Pagan, Adrian, 1996."The econometrics of financial markets,"Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May. Franses,Philip Hans & Dijk,Dick van, 2000."Non-Linear Time Series Models in Empirical Finance,"Cambridge Books,Cambridge University Press, number 9780521779654. Franses,Philip Hans & Dijk,Dick van, 2000."Non-Linear Time Series Models in Empirical Finance,"Cambridge Books,Cambridge University Press, number 9780521770415.repec:zbw:cfswop:wp200508 is not listed on IDEAS Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting,"CFS Working Paper Series 2005/08, Center for Financial Studies. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting,"CFS Working Paper Series 2005/08, Center for Financial Studies (CFS). Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting,"NBER Working Papers 11188, National Bureau of Economic Research, Inc. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting,"PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación,"DES - Documentos de Trabajo. Estadística y Econometría. DS 3664, Universidad Carlos III de Madrid. Departamento de Estadística. LeBaron, Blake, 2003."Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [,"International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.repec:adr:anecst:y:1991:i:24:p:01 is not listed on IDEAS Tim Bollerslev, 2008. "Glossary to ARCH (GARCH),"CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996."Modeling and pricing long memory in stock market volatility,"Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July. Tom Doan, "undated"."RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models,"Statistical Software ComponentsRTZ00173, Boston College Department of Economics. Andersen, Torben G. & Bollerslev, Tim, 1997."Intraday periodicity and volatility persistence in financial markets,"Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006."Multivariate GARCH models: a survey,"Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006."Multivariate GARCH models: a survey,"Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey,"LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey,"LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). Bollerslev, Tim & Ghysels, Eric, 1996."Periodic Autoregressive Conditional Heteroscedasticity,"Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity,"Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity,"Cahiers de recherche 9408, Centre interuniversitaire de recherche en Ãconomie quantitative, CIREQ. Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects,"Cahiers de recherche 9403, Centre interuniversitaire de recherche en Ãconomie quantitative, CIREQ. Eric Ghysels & Joann Jasiak, 1995. "Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects,"CIRANO Working Papers 95s-31, CIRANO. Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects,"Cahiers de recherche 9403, Universite de Montreal, Departement de sciences economiques. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts,"NBER Working Papers 6023, National Bureau of Economic Research, Inc. Nelson, Daniel B., 1996."Asymptotic filtering theory for multivariate ARCH models,"Journal of Econometrics, Elsevier, vol. 71(1-2), pages 1-47. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013."Financial Risk Measurement for Financial Risk Management,"Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220,Elsevier. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management,"PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management,"CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management,"NBER Working Papers 18084, National Bureau of Economic Research, Inc. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data,"Discussion Paper 1991-68, Tilburg University, Center for Economic Research. Nijman, T.E. & Palm, F.C., 1991. "Recent Developments in Modeling Volatility in Financial Data,"Papers 9168, Tilburg - Center for Economic Research. More about this itemJEL classification: C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
Statistics Access and download statistics Corrections All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecochp:4-49. See general information about how to correct material in RePEc.
archmodels 93 download
2ff7e9595c
Comments