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Conditional Heteroskedasticity in Asset Returns: A New Approach
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Conditional Heteroskedasticity in Asset Returns: A New Approach
Conditional Heteroskedasticity in Asset Returns: A New Approach
DN
Daniel B. Nelson
Daniel B. Nelson
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1 March 1991
journal article
Published by
JSTOR
in
Econometrica
Vol. 59
(2)
,
347
https://doi.org/10.2307/2938260
Abstract
GARCH models have been applied in modelling the relation between conditional variance and asset risk premia. These models, however, have at least three major dr...
Keywords
MODELS
ASSET RETURNS
CONDITIONAL HETEROSKEDASTICITY
CONDITIONAL VARIANCE
APPROACH GARCH
ASSET RISK
RISK PREMIA
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Cited by 5981 articles