附註:Includes bibliographical references (pages 51-56).
Introduction / Robert F. Engle -- 1. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / Robert F. Engle -- 2. Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M Model / Robert F. Engle, David M. Lilien and Russell P. Robins -- 3. Generalized Autoregressive Conditional Heteroskedasticity / Tim Bollerslev -- 4. Expected Stock Returns and Volatility / Kenneth R. French, G. William Schwert and Robert F. Stambaugh -- 5. Conditional Heteroskedasticity in Asset Returns: A New Approach / Daniel B. Nelson -- 6. Semiparametric ARCH Models / Robert F. Engle and Gloria Gonzalez-Rivera -- 7. Measuring and Testing the Impact of News on Volatility / Robert F. Engle and Victor K. Ng -- 8. Stationarity and Persistence in the GARCH(1,1) Model / Daniel B. Nelson -- 9. ARCH Models as Diffusion Approximations / Daniel B. Nelson -- 10. Temporal Aggregation of GARCH Processes / Feike C. Drost and Theo E. Nijman.
11.A Capital-Asset Pricing Model with Time-Varying Covariances/T. Bollerslev, R.F. Engle & J.M. Wooldridge--12. Multivariate Stochastic Variance Models/A. Harvey, E. Ruiz & N. Shephard--13. Asset Pricing with a FACTOR-ARCH Covariance Structure: Empirical Estimates for Treasury Bills/R.F. Engle, V.K. Ng & M. Rothschild--14. Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model/T. Bollerslev--15. Forecasting Volatility and Option Prices of the S & P 500 Index/J. Noh, R.F. Engle & A. Kane--16. Stock Market Volatility and the Information Content of Stock Index Options/Theodore E. Day & C.M. Lewis--17. Implied ARCH Models from Options Prices/R.F. Engle & M. Chowdhury--18. Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market/R.F. Engle, T. Ito & Wen-Ling Lin.
