11 – Estimating Diffusion Models of Stochastic Volatility

[1]  Peter E. Rossi,et al.  Bayesian Analysis of Stochastic Volatility Models , 1994 .

[2]  N. Shephard,et al.  Multivariate stochastic variance models , 1994 .

[3]  C. Gouriéroux,et al.  Chapter 44 Testing non-nested hypotheses , 1994 .

[4]  L. Glosten,et al.  On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks , 1993 .

[5]  R. Engle,et al.  A Permanent and Transitory Component Model of Stock Return Volatility , 1993 .

[6]  T. Nijman,et al.  Temporal Aggregation of GARCH Processes. , 1993 .

[7]  S. Heston A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .

[8]  Campbell R. Harvey,et al.  An Empirical Comparison of Alternative Models of the Short-Term Interest Rate , 1992 .

[9]  R. Chou,et al.  ARCH modeling in finance: A review of the theory and empirical evidence , 1992 .

[10]  E. Stein,et al.  Stock Price Distributions with Stochastic Volatility: An Analytic Approach , 1991 .

[11]  R. Engle,et al.  Semiparametric ARCH Models , 1991 .

[12]  Daniel B. Nelson CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .

[13]  Daniel B. Nelson Stationarity and Persistence in the GARCH(1,1) Model , 1990, Econometric Theory.

[14]  Daniel B. Nelson ARCH models as diffusion approximations , 1990 .

[15]  L. J. Merville,et al.  Stock-price volatility, mean-reverting diffusion, and noise , 1989 .

[16]  Adrian Pagan,et al.  Alternative Models for Conditional Stock Volatility , 1989 .

[17]  G. Schwert Why Does Stock Market Volatility Change Over Time? , 1988 .

[18]  R. Chou Volatility persistence and stock valuations: Some empirical evidence using garch , 1988 .

[19]  James B. Wiggins Option values under stochastic volatility: Theory and empirical estimates , 1987 .

[20]  T. Bollerslev,et al.  A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN , 1987 .

[21]  D. Shanno,et al.  Option Pricing when the Variance Is Changing , 1987, Journal of Financial and Quantitative Analysis.

[22]  Alan G. White,et al.  The Pricing of Options on Assets with Stochastic Volatilities , 1987 .

[23]  Russell P. Robins,et al.  Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model , 1987 .

[24]  W. Newey,et al.  A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .

[25]  T. Bollerslev,et al.  Generalized autoregressive conditional heteroskedasticity , 1986 .

[26]  H. Iemoto Modelling the persistence of conditional variances , 1986 .

[27]  S. Ross,et al.  A theory of the term structure of interest rates'', Econometrica 53, 385-407 , 1985 .

[28]  A. A. Weiss ARMA MODELS WITH ARCH ERRORS , 1984 .

[29]  A. Christie,et al.  The stochastic behavior of common stock variances: value , 1982 .

[30]  R. Engle Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[31]  E. Fama The Behavior of Stock-Market Prices , 1965 .