| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0173 |
| 来源ID | Technical Working Paper 0173 |
| Measuring Volatility Dynamics | |
| Francis X. Diebold; Jose A. Lopez | |
| 发表日期 | 1995-02-01 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | Recently there has been a great deal of interest in modeling volatility fluctuations. ARCH models, for example, provide parsimonious approximations to volatility dynamics. Here we provide a selective amount of certain aspects of conditional volatility modeling that are of particular relevance in macroeconomics and finance. First, we sketch the rudiments of a rather general univariate time- series model, allowing for dynamics in both the conditional mean and variance. Second, we discuss both the economic and statistical motivation for the models, we characterize their properties, and we discuss issues related to estimation and testing. Finally, we discuss a variety of applications and extensions of the basic models. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0173 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562431 |
| 推荐引用方式 GB/T 7714 | Francis X. Diebold,Jose A. Lopez. Measuring Volatility Dynamics. 1995. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0173.pdf（1412KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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