A structured GARCH model of daily equity return volatility

Trading volume and the subordinated stochastic process model of stock returns

Rougier, J
Durham Univ. (United Kingdom). Dept. of Economics

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.1059(DUDE-WP--113) / BLDSC - Br...

Modelling the equity risk premium in the long term

Tahir, M
Okunev, J.
Davidson, I.
Warwick Business School (United Kingdom). Research Bureau

January 1996

Available from British Library Document Supply Centre- DSC:9261.954(WBS-RB-RP--208) / BLDSC - Britis...

Econometric analysis of realised volatility and its use in estimating stochastic volatility models

Barndorff-Nielsen, O.E.
Shephard, N.
Nuffield Coll. Oxford (United Kingdom)

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3656.9761(no 2001-4) / BLDSC - Britis...

GARCH volatility models

Riyait, N
Alexander, C.
Sussex Univ., Brighton (United Kingdom). International Economics Research Centre

January 1992

Available from British Library Document Supply Centre- DSC:3597.85232(SU-IERC-DP--13/92) / BLDSC - B...

A structured GARCH model of daily equity return volatility

Connor, Gregory

March 2001

This paper estimates a structural times series model of return volatility. We argue that the structu...

A Structured GARCH Model of Daily Equity Return Volatility

Gregory Connor

This paper estimates a structural times series model of return volatility. We argue that the structu...

Modelling currency volatility and returns

Biekpe, N.B.

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN021479 / BLDSC - British Library D...

Modelling Standard and Poors 100 index volatility

Blair, B.J.

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN041095 / BLDSC - British Library D...

Forecasting (Log) volatility models

Christodoulakis, G.A.
Satchell, S.E.
Exeter Univ. (United Kingdom). Dept. of Economics

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9295(98/14) / BLDSC - British Li...

Non-linear modeling of daily exchange rate returns, volatility and 'news' in a small developing economy

Sanchez-Fung, J.R.
Kingston Univ., Kingston upon Thames (United Kingdom). Faculty of Human Sciences

January 2002

SIGLEAvailable from British Library Document Supply Centre-DSC:3656.9748(04/02) / BLDSC - British Li...

A dynamic model of share valuation, taxation and dividend policy

Pointon, J.
Plymouth Univ. (United Kingdom). Plymouth Business School

January 1993

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.8333(93-01) / BLDSC - British Li...

Asset holding and consumption volatility

Attanasio, O.
Banks, J.
Tanner, S.
Institute for Fiscal Studies, London (United Kingdom)

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:4363.343505(98/9) / BLDSC - British L...

National versus global factors in equity returns

Curds, R
Connor, G.
Beckers, S.
London School of Economics (United Kingdom). Financial Markets Group

January 1995

Available from British Library Document Supply Centre- DSC:5300.405(LSE-FMG-DP--215) / BLDSC - Briti...

The derivation of a new model of equity duration

Lewin, R.A.
Satchell, S.E.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(no 0104) / BLDSC - British L...

The memory of stochastic volatility models

Robinson, P.
London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centres for Economics and Related Disciplines

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(01/410) / BLDSC - British Li...

Trading volume and the subordinated stochastic process model of stock returns

Rougier, J
Durham Univ. (United Kingdom). Dept. of Economics

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.1059(DUDE-WP--113) / BLDSC - Br...

Modelling the equity risk premium in the long term

Tahir, M
Okunev, J.
Davidson, I.
Warwick Business School (United Kingdom). Research Bureau

January 1996

Available from British Library Document Supply Centre- DSC:9261.954(WBS-RB-RP--208) / BLDSC - Britis...

Econometric analysis of realised volatility and its use in estimating stochastic volatility models

Barndorff-Nielsen, O.E.
Shephard, N.
Nuffield Coll. Oxford (United Kingdom)

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3656.9761(no 2001-4) / BLDSC - Britis...

GARCH volatility models

Riyait, N
Alexander, C.
Sussex Univ., Brighton (United Kingdom). International Economics Research Centre

January 1992

Available from British Library Document Supply Centre- DSC:3597.85232(SU-IERC-DP--13/92) / BLDSC - B...

A structured GARCH model of daily equity return volatility

Connor, Gregory

March 2001

This paper estimates a structural times series model of return volatility. We argue that the structu...

A Structured GARCH Model of Daily Equity Return Volatility

Gregory Connor

This paper estimates a structural times series model of return volatility. We argue that the structu...

Modelling currency volatility and returns

Biekpe, N.B.

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN021479 / BLDSC - British Library D...

Modelling Standard and Poors 100 index volatility

Blair, B.J.

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN041095 / BLDSC - British Library D...

Forecasting (Log) volatility models

Christodoulakis, G.A.
Satchell, S.E.
Exeter Univ. (United Kingdom). Dept. of Economics

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9295(98/14) / BLDSC - British Li...

Non-linear modeling of daily exchange rate returns, volatility and 'news' in a small developing economy

Sanchez-Fung, J.R.
Kingston Univ., Kingston upon Thames (United Kingdom). Faculty of Human Sciences

January 2002

SIGLEAvailable from British Library Document Supply Centre-DSC:3656.9748(04/02) / BLDSC - British Li...

A dynamic model of share valuation, taxation and dividend policy

Pointon, J.
Plymouth Univ. (United Kingdom). Plymouth Business School

January 1993

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.8333(93-01) / BLDSC - British Li...

Asset holding and consumption volatility

Attanasio, O.
Banks, J.
Tanner, S.
Institute for Fiscal Studies, London (United Kingdom)

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:4363.343505(98/9) / BLDSC - British L...

National versus global factors in equity returns

Curds, R
Connor, G.
Beckers, S.
London School of Economics (United Kingdom). Financial Markets Group

January 1995

Available from British Library Document Supply Centre- DSC:5300.405(LSE-FMG-DP--215) / BLDSC - Briti...

The derivation of a new model of equity duration

Lewin, R.A.
Satchell, S.E.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(no 0104) / BLDSC - British L...

The memory of stochastic volatility models

Robinson, P.
London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centres for Economics and Related Disciplines

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(01/410) / BLDSC - British Li...

Trading volume and the subordinated stochastic process model of stock returns

Rougier, J
Durham Univ. (United Kingdom). Dept. of Economics

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.1059(DUDE-WP--113) / BLDSC - Br...

Modelling the equity risk premium in the long term

Tahir, M
Okunev, J.
Davidson, I.
Warwick Business School (United Kingdom). Research Bureau

January 1996

Available from British Library Document Supply Centre- DSC:9261.954(WBS-RB-RP--208) / BLDSC - Britis...

Econometric analysis of realised volatility and its use in estimating stochastic volatility models

Barndorff-Nielsen, O.E.
Shephard, N.
Nuffield Coll. Oxford (United Kingdom)

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3656.9761(no 2001-4) / BLDSC - Britis...

A structured GARCH model of daily equity return volatility

Abstract

Extracted data

A structured GARCH model of daily equity return volatility

Abstract

Extracted data

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