Integrated-GARCH and non-stationary variances: Evidence from European stock markets during the 1920s and 1930s
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- James M. Poterba & Lawrence H. Summers, 1984.
"The Persistence of Volatility and Stock Market Fluctuations,"
NBER Working Papers
1462, National Bureau of Economic Research, Inc.
- Poterba, James M & Summers, Lawrence H, 1986. "The Persistence of Volatility and Stock Market Fluctuations," American Economic Review, American Economic Association, vol. 76(5), pages 1142-51, December.
- James M. Poterba & Lawrence H. Summers, 1984. "The Persistence of Volatility and Stock Market Fluctuations," Working papers 353, Massachusetts Institute of Technology (MIT), Department of Economics.
- French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Baillie, R.T. & Degennaro, R.P., 1988.
"Stock Returns And Volatility,"
8803, Michigan State - Econometrics and Economic Theory.
- Schwert, G William, 1990.
"Stock Volatility and the Crash of '87,"
Review of Financial Studies,
Society for Financial Studies, vol. 3(1), pages 77-102.
- Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 289-311.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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