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@Article{Bollerslev-86,
  author = 	 {Bollerslev, Tim Peter},
  title = 	 {Generalized Autoregressive Conditional Heteroskedasticity},
  journal = 	 {Journal of Econometrics},
  year = 	 {1986},
  volume = 	 {31},
  pages = 	 {307--327}
}

@Article{bolwoo92,
  author = 	 {Bollerslev, Tim and Wooldridge, Jeffrey M.},
  title = 	 {Quasi maximum likelihood estimation and inference in dynamic models 
                  with time varying covariances},
  journal = 	 {Econometric Review},
  year = 	 {1992},
  volume = 	 {11},
  pages = 	 {143--172},
}

@Article{Engle-82,
  author = 	 {Engle, Robert},
  title = 	 {Autoregressive Conditional Heteroskedasticity With Estimates of the U.K. Inflation},
  journal = 	 {Econometrica},
  year = 	 {1982},
  volume = 	 {50},
  pages = 	 {987-1008}
 }

@Article{Ding-Engle-Granger,
  author = 	 {Ding, Z. X. and Engle, R. and Granger, C. W. F.},
  title = 	 {A Long Memory Property of Stock Markets Returns and a New Model},
  journal =      {Journal of Empirical Finance},
  volume =       {1},
  pages =        {83--106},
  year = 	 {1993}
}

@Article{NelCao92,
  author={Nelson, Daniel B. and Cao, Charles Q.},
  title={Inequality Constraints in the Univariate GARCH Model},
  journal={Journal of Business \& Economic Statistics},
  year=1992,
  volume={10},
  number={2},
  pages={229--35},
  month={April}
}

@Book{Taylor,
  author = 	 {Taylor, S.},
  title = 	 {Modelling Financial Time Series},
  publisher = 	 {Wiley},
  year = 	 {1986},
}

@Article{Schwert,
  author = 	 {Schwert, W.},
  title = 	 {Stock Volatility and the Crash of '87},
  journal = 	 {Review of Financial Studies},
  year = 	 {1990},
  volume = 	 {3},
  pages = 	 {77--102}
}

@Article{Higgins-Bera,
  author = 	 {Higgins, M. and Bera A.},
  title = 	 {A Class of Nonlinear ARCH Models},
  journal = 	 {International Economic Review},
  year = 	 {1992},
  volume = 	 {33},
  pages = 	 {137--158}
}

@Article{Geweke,
  author = 	 {Geweke, J.},
  title = 	 {Modeling the Persistence of Conditional Variance: A Comment},
  journal = 	 {Econometric Review},
  year = 	 {1986},
  volume = 	 {5},
  pages = 	 {57--61}
}

@Article{Pantula,
  author = 	 {Pantula, S.},
  title = 	 {Modeling the Persistence of Conditional Variance: A Comment},
  journal = 	 {Econometric Review},
  year = 	 {1986},
  volume = 	 {5},
  pages = 	 {71--74}
}

@Article{Glosten-Jagannathan-Runkle,
  author = 	 {Glosten, L.R. and Jagannathan, R. and Runkle, D.E.},
  title = 	 {Relation between Expected Value and The Nominal Excess Return on Stocks},
  journal = 	 {Journal of Finance},
  year = 	 {1993},
  volume = 	 {48},
  pages = 	 {127--138}
}

@Article{Zakoian,
  author = 	 {Zakoian, J. M.},
  title = 	 {Thresold Heteroskedastic Models},
  journal = 	 {Journal of Economic Dynamic and Control},
  year = 	 {1994},
  volume = 	 {18},
  pages = 	 {931--955}
}

@Article{Laurent,
  author={Sébastien Laurent},
  title={Analytical Derivatives of the {APARCH} Model},
  journal={Computational Economics},
  year=2004,
  volume={24},
  number={1},
  pages={51--57},
  month={08}
}

@Article{Nelson,
  author = 	 {Nelson, Daniel B.},
  title = 	 {Conditional Heteroskedasticity in Assets Returns: a New Approach},
  journal = 	 {Econometrica},
  year = 	 1991,
  volume = 	 59,
  pages = 	 {347--370}
}

@Article{Hansen-SkT,
  author={Hansen, Bruce E},
  title={Autoregressive Conditional Density Estimation},
  journal={International Economic Review},
  year=1994,
  volume={35},
  number={3},
  pages={705--30},
  month={August}
}