An Introduction to Univariate GARCH Models

By Timo Teräsvirta. 2006

227 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/95a779f0be98404cae48ae9955bcce145edcf97d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. L. Pham
2. Eric Zivot
3. B. Hansen
4. Tālis J. Putniņš
5. James Morley
6. Xiaoguang Zhou
7. Yadi Cui

In Finance

1. L. Pham
2. Eric Zivot
3. Tālis J. Putniņš

Citations in the corpus

• Realized GARCH: a joint model for returns and realized measures of volatility (2012, unknown): “The usual MEM formulation is based on a vector of non-negative random innovations, η t , that are required to have mean E( η t ) = (1 , . . . , 1) (cid:48) .”
• Is it risky to go green? A volatility analysis of the green bond market (2016, background): “See Bauwens, Laurent, and Rombouts (2006) and Teräsvirta (2009) for a literature survey.”
• Practical Issues in the Analysis of Univariate GARCH Models (2009, methodology): “Multivariate GARCH models are discussed in the chapter by Silvennoinen and Teräsvirta (2008).”
• Bayesian Inference Methods for Univariate and Multivariate GARCH Models: A Survey (2014, unknown): “For general reviews on MGARCH models, see Bauwens et al. (2006), Silvennoinen & Teräsvirta (2009) and Tsay (2010) (Chapter 10), among others.”