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L'Analisi Tecnica e i modelli Garch

Bibliografia

Bollerslev, T. (1986), «Generalised Autoregressive Conditional Heteroskedasticity», Journal of Econometrics, 31, 307-327.

Diebold, F.X., Im, J. e Lee, C.J. (1988), «Conditional Heteroskedasticity in the Market», Board of Governors of the Federal Reserve System Finance and Economics Discussion Series, 42, September, 24.

Engle, R.F. (1982), «Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation», Econometrica, 50, 987-1008.

Franklen, J.A. e Froot, K.A. (1986), «The Dollar as an Irrational Speculative Bubble: The Tail of Fundamentalists and Chartists» Marcus Wallenberg Papers on International Finance, 1, 25-27.

Gourieroux, C. e Monfort, A. (1992), «Qualitative Threshold ARCH Models», Journal of Econometrics, 52(1-2), 159-99.

Lamoureux, C.G. e Lastrapes, W.D. (1990), «Heterosckdasticity in Stock Return Data: Volume Versus GARCH Effects», , Journal of Finance, 45(1), 221-229.

LeBaron, B. (1992), «Some Relations Between Volatility and Serial Correlation in Stock Market Return», Journal of Business, 65(2), 199-219.

Neftci, S. (1991), «Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: a Study of «Technical Analysis»», Journal of Business, 64(4), 549-571.

Nelson, D.B. (1990), «Stationarity and Persistence in the GARCH(1,1) Model», Econometric Theory; 6(3), 318-34.

Nelson, D.B. (1991), «Conditional Heteroskedasticity in Asset Returns: A New Approach», Econometrica, 59(2), 347-370.

Schwert, G.W. (1989), «Why Does Stock Market Volatility Change over Time?» Journal of Finance; 44(5), 1115-1153.

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