New frontiers for arch models

By Robert F. Engle. 2002

762 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/17f2bc4ee90da0498db16ea8d75551046f4bf606

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Citations in the corpus

Risk and Volatility: Econometric Models and Financial Practice (2004, methodology): “The required risk neutralization has been studied by several authors such as Rosenberg and Engle (2002), Bates (2003) and Jackwerth (2000).”
Vector Multiplicative Error Models: Representation and Inference (2006, methodology): “Let us start by recalling the main features of the univariate Multiplicative Error Model (MEM) introduced by Engle (2002) and extended by Engle and Gallo (2006).”
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007, neutral): “A more complicated multiplicative error structure, along the lines of Engle (2002) and Engle and Gallo (2006), could be employed to ensure positivity of the conditional expectations.”
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach (2012, methodology): “(2002) have 134 provided extensive discussion on the properties of the log range; Engle and Gallo (2006) 135 have shown that dynamically the range has good explanatory power in predicting future 136 values of squared returns or realized variance. In a risk management context, Brown137 lees and Gallo”
A Multiple Indicators Model for Volatility Using Intra-Daily Data (2003, methodology): “We have adopted a novel approach, called multiplicative error model (Engle, 2002), which is suited to model the conditional behavior of positively valued variables choosing a convenient GARCH-type structure to model persistence.”
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY (2012, methodology): “Model-based approaches effectively build on GARCH models in which a realized measure is included as an exogenous variable in the GARCH equation, see e.g. Engle (2002).”
Forecasting time-varying covariance with a range-based dynamic conditional correlation model (2009, methodology): “Another theoretical justification for the above result appeared in Engle (2002).”
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes (2010, neutral): “This has serious consequences in a dynamic framework, as, e.g., in the multiplicative error model (MEM) introduced by Engle (2002) which ∗Correspondence to: Nikolaus Hautsch, Institute for Statistics and Econometrics, Humboldt-Universität zu Berlin, Spandauer Str. 1, D-10178 Berlin, Germany, or…”
GARCH Models (2010, neutral): “See, among others, Bollerslev, Chou and Kroner (1992), Bollerslev, Engle and Nelson (1994), Pagan (1996), Palm (1996), Shephard (1996), Kim, Shephard, and Chib (1998), Engle (2001, 2002b, 2004), Engle and Patton (2001), Diebold (2004), Bauwens, Laurent and Rombouts (2006) and Giraitis et al. (2006).”
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (2006, methodology): “Engle and Ng (1993) and Engle (2002) have developed rather different ideas in this regard.”