波动性聚类
计量经济学
自回归模型
异方差
波动性(金融)
经济
拱门
实证研究
突出
金融经济学
资本资产定价模型
ARCH模型
计算机科学
数学
统计
土木工程
人工智能
工程类
作者
Tim Bollerslev,Ray Y. Chou,Kenneth F. Kroner
标识
DOI:10.1016/0304-4076(92)90064-x
摘要
Although volatility clustering has a long history as a salient empirical regularity characterizing high-frequency speculative prices, it was not until recently that applied researchers in finance have recognized the importance of explicitly modeling time-varying second-order moments. Instrumental in most of these empirical studies has been the Autoregressive Conditional Heteroskedasticity (ARCH) model introduced by Engle (1982). This paper contains an overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial data. Several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies, and the pricing of derivative assets, are also discussed.
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