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A Three-Factor GARCH Model for Daily Returns

https://doi.org/10.2139/ssrn.1343699
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Forecasting stock market volatility using (non-linear) Garch models
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An equilibrium characterization of the term structure
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Generalized autoregressive conditional heteroskedasticity
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ARCH modeling in finance
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Impulse response analysis in nonlinear multivariate models
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Estimating affine multifactor term structure models using closed-form likelihood expansions☆
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Estimation of affine asset pricing models using the empirical characteristic function
inferredcites →https://doi.org/10.1017/s0266466600009063openalex-extracted
Multivariate Simultaneous Generalized ARCH
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A Capital Asset Pricing Model with Time-Varying Covariances
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Parsimonious Modeling of Yield Curves
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Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
inferredcites →https://doi.org/10.1111/j.1467-9965.1996.tb00123.xopenalex-extracted
A YIELD‐FACTOR MODEL OF INTEREST RATES
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05127.xopenalex-extracted
Measuring and Testing the Impact of News on Volatility
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-extracted
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.2139/ssrn.325300openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.910218openalex-extracted
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration
inferredcites →https://doi.org/10.2139/ssrn.94135openalex-extracted
Maximum-Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach
inferredcites →https://doi.org/10.2307/1911242openalex-extracted
A Theory of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.2307/2109358openalex-extracted
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
inferredcites →https://doi.org/10.3905/jfi.1991.692347openalex-extracted
Common Factors Affecting Bond Returns
inferredcites →https://doi.org/10.3905/jfi.1993.408090openalex-extracted
Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.1016/j.jeconom.2005.03.005openalex-snapshot
Forecasting the Term Structure of Government Bond Yields
inferredcites →https://doi.org/10.1080/14697680902785284openalex-snapshot
Evaluating portfolio Value-at-Risk using semi-parametric GARCH models
inferredcites →https://doi.org/10.2307/2527342openalex-snapshot
Evaluating Density Forecasts with Applications to Financial Risk Management
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