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...
IN THE recent literature there has been a considerable interest in the theory of random walks in stock-market prices. The basic hypothesis of the theory is that successive price...
Abstract In this paper we have attempted to provide an integrated approach to the estimation of models with risk terms. It was argued that there exist orthogonality conditions b...
T he Crash of October 1987 was a puzzling event puzzling not only for what happened on October 19, but also for what subsequently did not happen. In spite of the magnitude and m...
We examine the behavior of measured variances from the options market and the underlying stock market. Under the joint hypotheses that markets are informationally efficient and ...
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