The DOI matches its Crossref record; 26 of the 26 references it cites were found in a registry or an index.
Common Persistence in Conditional Variances
Open accessAbstract
A common finding in many of the recent empirical studies with the ARCH class of models applied to high frequency financial data concerns the apparent persistence of shocks for forecast of the future conditional variances. It is likely that several different variables share this same implied long-run component, however. In that situation, the variables are defined to be copersistent in variance. Conditions for copersistence to occur in the linear multivariate GARCH model are presented. These conditions parallel the conditions for linear cointegration in the mean. A simple empirical example with foreign exchange rate data illustrates the ideas. Copyright 1993 by The Econometric Society.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
Self-citationGeneralized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Self-citationEngle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Self-citationOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
The arbitrage theory of capital asset pricing
Ross, S. A. (1976) · Journal of Economic Theory · doi:10.1016/0022-0531(76)90046-6 · Cited by 7,009
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90064-x · Cited by 4,270
Self-citationQuasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Bollerslev, T., & Wooldridge, J. M. (1992) · Econometric Reviews · doi:10.1080/07474939208800229 · Cited by 3,217
Self-citationA Capital Asset Pricing Model with Time-Varying Covariances
Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988) · Journal of Political Economy · doi:10.1086/261527 · Cited by 3,138
Self-citationDEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES
Granger, C. W. J. (1986) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.1986.mp48003002.x · Cited by 2,565
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
Bollerslev, T. (1987) · The Review of Economics and Statistics · doi:10.2307/1925546 · Cited by 2,565
Self-citation
Cited by
The Distribution of Realized Exchange Rate Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001) · Journal of the American Statistical Association · doi:10.1198/016214501750332965 · Cited by 2,104
Self-citationIntraday periodicity and volatility persistence in financial markets
Andersen, T. G., & Bollerslev, T. (1997) · Journal of Empirical Finance · doi:10.1016/s0927-5398(97)00004-2 · Cited by 1,299
Self-citationModeling and pricing long memory in stock market volatility
Bollerslev, T., & Ole Mikkelsen, H. (1996) · Journal of Econometrics · doi:10.1016/0304-4076(95)01736-4 · Cited by 1,208
Self-citationThe econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Neglecting parameter changes in GARCH models
Hillebrand, E. (2005) · Journal of Econometrics · doi:10.1016/j.jeconom.2004.09.005 · Cited by 320
Metadata
- Authors
- Bollerslev, T., & Engle, R. F.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1993-01
- Volume
- 61
- Issue
- 1
- Pages
- 167
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2125791736
- Cited by
- 313
- References
- 26
- FWCI
- 46.87
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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