Traditional econometric models assume a constant one-period forecast variance. To generalize
this implausible assumption, a new class of stochastic processes called autoregressive …

This chapter evaluates the most important theoretical developments in ARCH type modeling
of time-varying conditional variances. The coverage include the specification of univariate …

This paper presents theoretical results on the formulation and estimation of multivariate
generalized ARCH models within simultaneous equations systems. A new parameterization of …

We propose and implement a procedure to dynamically hedge climate change risk. We
extract innovations from climate news series that we construct through textual analysis of …

The relationship between co-integration and error correction models, first suggested in
Granger (1981), is here extended and used to develop estimation procedures, tests, and …

The expectation of the excess holding yield on a long bond is postulated to depend upon its
conditional variance. Engle's (1982a) ARCH model is extended to allow the conditional …

This paper defines the news impact curve which measures how new information is incorporated
into volatility estimates. Various new and existing ARCH models including a partially …

We revisit the relation between stock market volatility and macroeconomic activity using a
new class of component models that distinguish short-run from long-run movements. We …

The capital asset pricing model provides a theoretical structure for the pricing of assets with
uncertain returns. The premium to induce risk-averse investors to bear risk is proportional to …

In this paper, we develop the theoretical and empirical properties of a new class of multi-variate
GARCH models capable of estimating large time-varying covariance matrices, Dynamic …