Browsing by Author "Bollerslev, Tim"
Now showing items 1-7 of 7
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A Capital Asset Pricing Model with Time Varying Covariances
(Journal of Political Economy, 1988) -
ARCH Models
(1994)This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univerate parametric ARCH models, general inference ... -
Common Persistence in Conditional Variances
(Econometrica, 1994) -
Dan Nelson Remembered
(Journal of Business and Economic Statistics, 1995) -
Realized Semibetas: Signs of Things to Come
(2020-02-20) -
Realized Semicovariances
(Econometrica: journal of the Econometric Society, 2020)We propose a decomposition of the realized covariance matrix into components based on the signs of the underlying high‐frequency returns, and we derive the asymptotic properties of the resulting realized semicovariance measures ...
