5Chris Brooks.Predicting Stock index Volatility.Can Market Vol-ume Help?. Journal of Forecasting . 1998
6Akgiray,V.Conditional heteroskedasticity in time series of stock returns: Evidence and forecasts. Journal of Business . 1989
7Pagan A R,Schwert G W.Alternative models for conditional stock market volatility. Journal of Econometrics . 1990
8Brooks C,Persand G.The effect of asymmetries on stock index return ad value-at-risk estimates. The Journal of Risk Finance . 2003
二级参考文献10
1Sentana E.Quadratic ARCH models[].The Review of Economic Studies.1995
2Pagan A R,Schwert G W.Alternative models for conditional stock market volatility[].Journal of Econometrics.1990
3Bollerslev T,Chou R,Kroner K.ARCH modelling in finance: a review of the theory and empirical evidence[].Journal of Econometrics.1992
4Nelson D.Conditional heteroskedasticity in asset returns: a new approach[].Econometrica.1990
5Glosten L,Jagannathan R,Runkle D.On the relation between the expected value and the volatility of nominal excess return on stocks[].The Journal of Finance.1992
6Engle R F.Autogressive conditional heteroskedasticity with estimates of the variance of UK inflation[].Econometrica.1982
7Day T,Lewis C.Stock market volatility and the information content of stock index options[].Journal of Econometrics.1992
8Bollerslev T.Generalized autogressive conditional heteroskedasticity[].Journal of Econometrics.1986
9Granger C W J.Forecasting stock market prices:Lessons for forecasters[].International Journal of Forecasting.1992