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Cited by 549

The DOI matches its Crossref record; 16 of the 16 references it cites were found in a registry or an index.

Quadratic ARCH Models

Sentana, E.·1995·The Review of Economic Studies
DOI 10.2307/2298081
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Abstract

The author introduces a new model for time-varying conditional variances as the most general quadratic version possible within the ARCH class. Hence, it encompasses all the existing restricted quadratic variance functions. Its properties are very similar to those of GARCH models but avoids some of their criticisms. In univariate applications to daily U.S. and monthly U.K. stock market returns, QARCH adequately represents volatility and risk premia. QARCH is easy to incorporate in muitivariate models to capture dynamic assymmetries that GARCH rules out. Such asymmetries are found in an empirical application of a conditional factor model to twenty-six U.K. sectorial stock returns. Copyright 1995 by The Review of Economic Studies Limited.

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Metadata

Authors
Sentana, E.
Venue
The Review of Economic Studies
Publisher
Oxford University Press (OUP)
Published
1995-10-01
Volume
62
Issue
4
Pages
639-661
ISSN
  • 0034-6527 (ISSN-L)
  • 1467-937X
DOI
10.2307/2298081
OpenAlex
W2028598746
Cited by
549
References
16
FWCI
12.20
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Quadratic ARCH Models. https://app.cochat.ai/papers/10.2307/2298081
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Sentana, E. (1995). Quadratic ARCH Models. The Review of Economic Studies. https://doi.org/10.2307/2298081

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.