Modelos ARCH (Portuguese Wikipedia)

Analysis of information sources in references of the Wikipedia article "Modelos ARCH" in Portuguese language version.

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pubs.aeaweb.org

Engle, Robert (dezembro de 2001). «GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics». Journal of Economic Perspectives (em inglês). 15 (4): 157–168. ISSN 0895-3309. doi:10.1257/jep.15.4.157

doi.org

dx.doi.org

Engle, Robert F. (1982). «Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation». Econometrica. 50 (4): 987–1007. doi:10.2307/1912773
Bollerslev, Tim. «Generalized autoregressive conditional heteroskedasticity». Journal of Econometrics. 31 (3): 307–327. doi:10.1016/0304-4076(86)90063-1
Engle, Robert (dezembro de 2001). «GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics». Journal of Economic Perspectives (em inglês). 15 (4): 157–168. ISSN 0895-3309. doi:10.1257/jep.15.4.157
Hacker, R. Scott; *, Abdulnasser Hatemi-J. (10 de junho de 2005). «A test for multivariate ARCH effects». Applied Economics Letters. 12 (7): 411–417. ISSN 1350-4851. doi:10.1080/13504850500092129
Engle, Robert F.; Ng, Victor K. (1 de dezembro de 1993). «Measuring and Testing the Impact of News on Volatility». The Journal of Finance (em inglês). 48 (5): 1749–1778. ISSN 1540-6261. doi:10.1111/j.1540-6261.1993.tb05127.x
Higgins, M. L.; Bera, A. K. (1992). «A Class of Nonlinear Arch Models». International Economic Review. 33 (1): 137–158. doi:10.2307/2526988
Morana, C. (1 de setembro de 2002). «IGARCH effects: an interpretation». Applied Economics Letters. 9 (11): 745–748. ISSN 1350-4851. doi:10.1080/13504850210127254
Nelson, Daniel B. (1991). «Conditional Heteroskedasticity in Asset Returns: A New Approach». Econometrica. 59 (2): 347–370. doi:10.2307/2938260
St. Pierre, Eileen F. «Estimating EGARCH-M models: Science or art?». The Quarterly Review of Economics and Finance. 38 (2): 167–180. doi:10.1016/s1062-9769(99)80110-0
Nelson, Daniel B.; Cao, Charles Q. (1992). «Inequality Constraints in the Univariate GARCH Model». Journal of Business & Economic Statistics. 10 (2): 229–235. doi:10.2307/1391681
Polasek, W.; Ren, L. (2000). «A Multivariate GARCH-M Model for Exchange Rates in the US, Germany and Japan». Springer, Berlin, Heidelberg. Classification and Information Processing at the Turn of the Millennium (em inglês): 355–363. doi:10.1007/978-3-642-57280-7_39
Sentana, Enrique (1995). «Quadratic ARCH Models». The Review of Economic Studies. 62 (4): 639–661. doi:10.2307/2298081
Glosten, Lawrence R.; Jagannathan, Ravi; Runkle, David E. (1 de dezembro de 1993). «On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks». The Journal of Finance (em inglês). 48 (5): 1779–1801. ISSN 1540-6261. doi:10.2307/2329067
Zakoian, Jean-Michel. «Threshold heteroskedastic models». Journal of Economic Dynamics and Control. 18 (5): 931–955. doi:10.1016/0165-1889(94)90039-6
Hentschel, Ludger. «All in the family Nesting symmetric and asymmetric GARCH models». Journal of Financial Economics. 39 (1): 71–104. doi:10.1016/0304-405x(94)00821-h
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross (setembro de 2004). «A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour». Journal of Applied Probability. 41 (3): 601–622. ISSN 0021-9002. doi:10.1239/jap/1091543413

elsevier.com

linkinghub.elsevier.com

Bollerslev, Tim. «Generalized autoregressive conditional heteroskedasticity». Journal of Econometrics. 31 (3): 307–327. doi:10.1016/0304-4076(86)90063-1
St. Pierre, Eileen F. «Estimating EGARCH-M models: Science or art?». The Quarterly Review of Economics and Finance. 38 (2): 167–180. doi:10.1016/s1062-9769(99)80110-0
Zakoian, Jean-Michel. «Threshold heteroskedastic models». Journal of Economic Dynamics and Control. 18 (5): 931–955. doi:10.1016/0165-1889(94)90039-6
Hentschel, Ludger. «All in the family Nesting symmetric and asymmetric GARCH models». Journal of Financial Economics. 39 (1): 71–104. doi:10.1016/0304-405x(94)00821-h

google.com.br

books.google.com.br

Engle, Robert F. (1995). ARCH: Selected Readings (em inglês). [S.l.]: Oxford University Press. ISBN 9780198774327
Enders, Walter (2004). Applied Econometric Time Series (em inglês). [S.l.]: J. Wiley. ISBN 9780471451730
Brooks, Chris (22 de maio de 2008). Introductory Econometrics for Finance (em inglês). [S.l.]: Cambridge University Press
Gujarati, Damodar N. (2003). Basic econometrics (em inglês). [S.l.]: McGraw Hill. ISBN 9780071123426

jstor.org

Engle, Robert F. (1982). «Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation». Econometrica. 50 (4): 987–1007. doi:10.2307/1912773
Higgins, M. L.; Bera, A. K. (1992). «A Class of Nonlinear Arch Models». International Economic Review. 33 (1): 137–158. doi:10.2307/2526988
Nelson, Daniel B. (1991). «Conditional Heteroskedasticity in Asset Returns: A New Approach». Econometrica. 59 (2): 347–370. doi:10.2307/2938260
Nelson, Daniel B.; Cao, Charles Q. (1992). «Inequality Constraints in the Univariate GARCH Model». Journal of Business & Economic Statistics. 10 (2): 229–235. doi:10.2307/1391681
Sentana, Enrique (1995). «Quadratic ARCH Models». The Review of Economic Studies. 62 (4): 639–661. doi:10.2307/2298081

projecteuclid.org

Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross (setembro de 2004). «A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour». Journal of Applied Probability. 41 (3): 601–622. ISSN 0021-9002. doi:10.1239/jap/1091543413

springer.com

link.springer.com

Polasek, W.; Ren, L. (2000). «A Multivariate GARCH-M Model for Exchange Rates in the US, Germany and Japan». Springer, Berlin, Heidelberg. Classification and Information Processing at the Turn of the Millennium (em inglês): 355–363. doi:10.1007/978-3-642-57280-7_39

srce.hr

hrcak.srce.hr

Posedel, Petra (2006). «Analysis of the exchange rate and pricing foreign currency options on the croatian market: the ngarch model as an alternative to the black-scholes model». Financial Theory and Practice. 30 (4): 347–368

wiley.com

onlinelibrary.wiley.com

Engle, Robert F.; Ng, Victor K. (1 de dezembro de 1993). «Measuring and Testing the Impact of News on Volatility». The Journal of Finance (em inglês). 48 (5): 1749–1778. ISSN 1540-6261. doi:10.1111/j.1540-6261.1993.tb05127.x
Glosten, Lawrence R.; Jagannathan, Ravi; Runkle, David E. (1 de dezembro de 1993). «On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks». The Journal of Finance (em inglês). 48 (5): 1779–1801. ISSN 1540-6261. doi:10.2307/2329067

worldcat.org

Engle, Robert (dezembro de 2001). «GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics». Journal of Economic Perspectives (em inglês). 15 (4): 157–168. ISSN 0895-3309. doi:10.1257/jep.15.4.157
Hacker, R. Scott; *, Abdulnasser Hatemi-J. (10 de junho de 2005). «A test for multivariate ARCH effects». Applied Economics Letters. 12 (7): 411–417. ISSN 1350-4851. doi:10.1080/13504850500092129
Engle, Robert F.; Ng, Victor K. (1 de dezembro de 1993). «Measuring and Testing the Impact of News on Volatility». The Journal of Finance (em inglês). 48 (5): 1749–1778. ISSN 1540-6261. doi:10.1111/j.1540-6261.1993.tb05127.x
Morana, C. (1 de setembro de 2002). «IGARCH effects: an interpretation». Applied Economics Letters. 9 (11): 745–748. ISSN 1350-4851. doi:10.1080/13504850210127254
Glosten, Lawrence R.; Jagannathan, Ravi; Runkle, David E. (1 de dezembro de 1993). «On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks». The Journal of Finance (em inglês). 48 (5): 1779–1801. ISSN 1540-6261. doi:10.2307/2329067
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross (setembro de 2004). «A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour». Journal of Applied Probability. 41 (3): 601–622. ISSN 0021-9002. doi:10.1239/jap/1091543413