Keywords
Volatility (finance)EconometricsEconomicsHeteroscedasticityStock (firearms)Autoregressive modelKurtosisSkewnessStock marketAutoregressive conditional heteroskedasticityFinancial economicsMathematicsStatistics
Affiliated Institutions
Related Publications
Semiparametric ARCH Models
This article introduces a semiparametric autoregressive conditional heteroscedasticity (ARCH) model that has conditional first and second moments given by autoregressive moving ...
Modelling the persistence of conditional variances
This paper will discuss the current research in building models of conditional variances using the Autoregressive Conditional Heteroskedastic (ARCH) and Generalized ARCH (GARCH)...
A Capital Asset Pricing Model with Time-Varying Covariances
The capital asset pricing model provides a theoretical structure for the pricing of assets with uncertain returns. The premium to induc e risk-averse investors to bear risk is p...
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
ABSTRACT We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH‐M model modified by allowi...
Conditional Heteroskedasticity in Asset Returns: A New Approach
This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility ch...
Publication Info
- Year
- 1992
- Type
- article
- Volume
- 31
- Issue
- 3
- Pages
- 281-318
- Citations
- 1949
- Access
- Closed
External Links
Social Impact
Altmetric
PlumX Metrics
Social media, news, blog, policy document mentions
Citation Metrics
1949
OpenAlex
Cite This
John Y. Campbell,
Ludger Hentschel
(1992).
No news is good news.
Journal of Financial Economics
, 31
(3)
, 281-318.
https://doi.org/10.1016/0304-405x(92)90037-x
Identifiers
- DOI
- 10.1016/0304-405x(92)90037-x