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Measuring and testing the impact of news on volatility

Engle, Robert F. - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1749-1778

Persistent link: https://www.econbiz.de/10001155967

A permanent and transitory component model of stock return volatility

Engle, Robert F.; Lee, Gary G. J. - 1993 - [Rev.]

Persistent link: https://www.econbiz.de/10000877975

A permanent and transitory component model of stock return volatality

Engle, Robert F.; Lee, Gary G. J. - 1992

Persistent link: https://www.econbiz.de/10000853573

A long memory property of stock market returns and a new model

Ding, Zhuanxin - In: Journal of empirical finance 1 (1993) 1, pp. 83-106

Persistent link: https://www.econbiz.de/10001146683

Dynamic conditional beta

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667

Persistent link: https://www.econbiz.de/10011623818

Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse

Allen, David E.; McAleer, Michael - In: Risks : open access journal 8 (2020) 1/12, pp. 1-20

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV) of FTSE sampled at 5 min intervals taken...

Persistent link: https://www.econbiz.de/10012203997