Roberet F. Engle 和 Tim Bollerslev 计量经济学文献合集(共32篇) 目录 2 Engle, R.F.(1982), “Autoregressive conditional herteroscedasticity with estimates of the variance of United Kingdom inflation” 3 Engle, R.F.(2001), “Financial econometrics -A new discipline with new methods” 4 Engle, R.F. and Gallo, G.M.(2006), “A multiple indicators model for volatility using intra-daily data” 5 Engle, R.F. and Granger, W.J.(1987), “co-integration and error correction: representation, estimation and testing” 6 Engle, R.F., Lilien, D.M. and Robins, R.P.(1987), “Estimating time varying risk premia in the term structure: the ARCH-M model” 7 Engle, R.F. and Ng, V.K.(1991), “Time-varying volatility and the dynamic behavior of the term structure” 8 Engle, R.F. and Ng, V.K.(1993), “Measuring and Testing the Impact of News on Volatility” 9 Engle, R.F. and Patton, J.(2001), “What good is a volatility model?” 10 Engle, R.F. and Rosenberg, J.V.(1998), “Testing the volatility term structure using option hedging criteria” 11 Engle, R.F. and Russell, J.R.(1998), “Autoregressive conditional duration: A new model for irregularly spaced transaction data” 12 Engle, R.F. and Sheppard, K.(2001), “Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH” 13 Engle, R.F. and Yoo, B.S.(1987), “Forecasting and testing in co-integrated systems”, Journal of econometrics 35, 143-159. 14 Manganelli, S. and Engle, R.F.(2001), “Value at Risk models in finance” 15 Andersen, T.G. and Bollerslev, T.(1996), “DM-DOLLAR volatility: Intraday activity paterns, macroeconomic announcements, and longer run dependencies” 16 Andersen, T.G. and Bollerslev, T.(1997), “Intraday periodicity and volatility persistence in financial markets” 17 Andersen, T.G., Bollerslev, T. and Diebold, F.X.(2000), “The distribution of stock return volatility” 18 Andersen, T.G., Bollerslev, T. and Diebold, F.X.(2002), “Parametric and Nonparametric Volatility Measurement” 19 Andersen, T.G., Bollerslev, T., Diebold, F.X. and Ebens, H.(2001), “The distribution of realized stock return volatility” 20 Baillie, R.T., Bollerslev, T. and Mikkelsen, H.O.(1996), “ Fractionally integrated generalized autoregressive conditional heteroskedasticity” 21 Bollerslev, T.(1986), “Generalized Autoregressive Conditional Herteroskedasticity” 22 Bollerslev, T.(1987), “A conditional heteroskedastic time series model for speculative prices and rates of return” 23 Bollerslev, T.(2001), “Financial econometrics: Past developments and future challenges” 24 Bollerslev, T., Mikkelsen, H.O.(1996), “Modeling and pricing long memory in stock market volatility” 25 Bollerslev, T. and Wright, J.H.(2000), “Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data” 26 Bollerslev, T. and Zhang, B.Y.B.(2003), “Measuring and modeling systematic risk in factor pricing models using high-frequency data” 27 Bollerslev, T. and Zhou, H.(2002), “Estimating stochastic volatility diffusion using conditional moments of integrated volatility” 28 Bollerslev, T. and Zhou, H.(2004), “Corrigendum to ‘Estimating stochastic volatility diffusion using conditional moments of integrated volatility’” 29 Bollerslev, T. and Zhou, H.(2005), “Volatility puzzles: a simple framework for gauging return-volatility regressions” 30 Bollerslev, T., Chou, R.Y. and Kroner, K.F.(1992), “ARCH modeling in finance: A review of the theory and empirical evidence” 31 Engle, R.F.(1991), "statistical models for financial volatility" 32 Bollerslev, T., Engle, R.F. and Nelson, D.B.(1994), "ARCH models" |