References

MODELLING VOLATILITY: SYMMETRIC OR ASYMMETRIC GARCH MODELS?


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[3] R. F. Engle, Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation, Econometrica 50 (1982), 987-1007.

[4] R. F. Engle, Estimates of the variance of U. S. inflation based on the ARCH model, Journal of Money, Credit and Banking 15 (1983), 286-301.

[5] R. F. Engle and N. Ng, Measuring and testing the impact of news on volatility, Journal of Finance 48 (1993), 1749-1778.

[6] L. R. Glosten, R. Jagannathan and D. E. Runkle, On the relation between the expected value and the volatility of the nominal excess return on stocks, The Journal of Finance 48 (1993), 1779-1801.

[7] D. B. Nelson, Conditional heteroskedasticity in asset returns: A new approach, Econometrica 59 (1991), 347-370.