| GARCH Toolbox | |
[1] Baillie, R.T., T, Bollerslev, "Prediction in Dynamic Models with Time-Dependent Conditional Variances," Journal of Econometrics, Vol. 52, pp. 91-113, 1992.
[2] Bera, A.K., H.L. Higgins, "A Survey of ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Vol. 7 no. 4, 1993.
[3] Bollerslev, T., "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," Review of Economics and Statistics, Vol. 69, pp. 542-547, 1987.
[4] Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, Vol. 31, pp. 307-327, 1986.
[5] Bollerslev, T., R.Y. Chou, K.F. Kroner, "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence," Journal of Econometrics, Vol. 52, pp. 5-59, 1992.
[6] Bollerslev, T., R.F. Engle, D.B. Nelson, Handbook of Econometrics: Volume IV (Chapter 49, ARCH Models), pp. 2959-3038, Elsevier Science B.V., 1994.
[7] Box, G.E.P., G.M. Jenkins, G.C. Reinsel, Time Series Analysis: Forecasting and Control, third edition, Prentice Hall, 1994.
[8] Engle, Robert F., "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Vol. 50, pp. 987-1007, 1982.
[9] Engle, Robert F., D.M. Lilien, R.P. Robins, "Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model", Econometrica, vol. 59, 1987, pp. 391-407.
[10] Glosten, L.R., R. Jagannathan, D.E. Runkle, "On the Relation between Expected Value and the Volatility of the Nominal Excess Return on Stocks", The Journal of Finance, vol.48, 1993, pp. 1779-1801.
[11] Gourieroux, C., ARCH Models and Financial Applications, Springer-Verlag, 1997.
[12] Hamilton, J.D., Time Series Analysis, Princeton University Press, 1994.
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