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Finance / Autoregressive conditional heteroskedasticity / Capital asset pricing model / Arbitrage pricing theory / Beta / Tim Bollerslev / Systematic risk / Campbell Harvey / Financial economics / Mathematical finance / Economics


Board of Governors of the Federal Reserve System International Finance Discussion Papers Number 775 September 2003
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Document Date: 2003-09-17 16:30:33

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File Size: 370,36 KB

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City

Bangkok / /

Company

Diebold / Finance Lunch Group / /

Continent

Asia / /

Country

Germany / United States / United Kingdom / /

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IndustryTerm

outer product / /

Organization

Board of Governors of the Federal Reserve System International Finance Discussion Papers Number / US Federal Reserve / Board of Governors / Division of International Finance / /

Person

Autoregressive Conditional Heteroscedastic / Bt / Chamberlain / Jon W. Tang / Tim Bollerslev / Sentana / George Tauchen / Ravi Bansal / Jon Wongswan / /

Position

univariate GARCH model for the market portfolio volatility / GARCH model / author / King / Governor / writer / Rt Rt / Rt / model of Bollerslev / Diagonal VECH model of Bollerslev / General / R-GARCH model of Gallant and / /

Region

Latin America / /

Technology

Diagnostic tests / /

URL

www.federalreserve.gov/pubs/ifdp / /

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